隨機利率下確定給付退休基金保證價值之評估｜國立中央大學博碩士論文系統

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研究生：	張仕亮 Shi-Liang Chang
論文名稱：	隨機利率下確定給付退休基金保證價值之評估 Valuation of Pension Benefit Guaranty under Stochastic Interest Rate
指導教授：	俞明德 Min-Teh Yu
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
畢業學年度：	89
語文別：	中文
論文頁數：	34
中文關鍵詞：	退休基金保險公司、基金負債比率、正常成本、固定提撥率
外文關鍵詞：	PBGC, Funding Ratio, Normal Cost, Pension Plan Contribution
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本研究是延伸Kalra and Jain’s (1997) 的架構去評價單一雇主下由退休基金保險公司(PBGC)所提供之保險的保險費。本模型了薪資和隨機利率對此保險費的影響。此外，本模型亦考慮了三種合約結束的情況：被保險公司倒閉，PBGC的介入，以及員工的退出。本研究是利用了蒙第卡羅模擬法去評價單一雇主下由退休基金保險公司(PBGC)所提供之保險的保險費，並進行了五種不同的情境分析(scenario)：被保險公司的負債比率，pension funding ratio，員工的退出率，員工的年齡，以及員工的薪資水準。模擬的結果顯示，利用此模型所評價的保險費高於實際上PBGC所收取的保險費。

Page
Table Contents...............................................II
Abstract.....................................................III
1. Introduction..............................................1
2. A model for the valuation of PBGC Insurance premiums......5
3. The Simulation Procedure..................................9
3.1 Termination Conditions................................9
A. Distress Termination...............................9
B. Involuntary Termination...........................10
C. Early Retirement..................................10
3.2 Numerical Analysis...................................11
A. Generating Random Variables.......................11
B. Parameters Values.................................12
C. Simulation Process................................13
4. Discussion and Comparative Results.......................15
5. Conclusion...............................................17
References..................................................19
Tables and Figures..........................................21
Table Contents
Table 1 Premium Schedule of PBGC’s Single-Employer Program (1980-1998).................................................21
Table 2 Net Financial Position of PBGC’s Single-Employer Program (1980-1998).........................................22
Table 3 Estimates for model parameters ....................23
Table 4 Standard Deviations and Correlations...............24
Table 5 The premium as percentage of salary with different pension funding ratios......................................25
Table 6 The premium as percentage of salary with different firm debt ratios............................................27
Table 7 The premium as percentage of salary with different decrement rates.............................................29
Table 8 The premium as percentage of salary with different participants’age...........................................31
Table 9 The premium as percentage of salary with different participants’ salary.......................................33
Figure 1 The premium as percentage of salary with different pension funding ratios......................................26
Figure 2 The premium as percentage of salary with different firm debt ratios............................................28
Figure 3 The premium as percentage of salary with different decrement rates.............................................30
Figure 4 The premium as percentage of salary with different participants’age...........................................32
Figure 5 The premium as percentage of salary with different participants’ salary.......................................34

                                

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