现收现付制与部分积累制的缴费率模型

本文利用保险精算学中生命表理论得到现收现付制下的缴费率精算模型,分析了在人口老龄化到来之际实行现收现付制的潜在危机;结合中国实际情况,利用生存年金理论分别得到社会统筹和个人帐户下的缴费率精算模型,最后给出求解个人帐户缴费率的实例。     

条件自回归利率下缴费预定型企业年金保险的生存年金精算现值模型

本文利用时间序列理论将投资利率为条件AR(1)模型推广为条件AR(p)模型,并利用生存年金理论得到缴费预定型企业年金保险中相应利率下的生存年金精算现值模型,这对解决企业合理发放养老金,避免企业养老基金出现赤字等问题具有重要理论指导意义和实际应用价值.     

ARMA，(1，1)利息力下缴费确定型企业生存年金的精算现值模型

本文是在AR(1)、MA(1)的基础上对条件自回归移动平均模型ARMA(1,1)利息力下缴费确定性生存年金精算现值模型的研究,综合了AR(1)和MA(1)两个模型的优点。这对我国处于初步阶段的企业年金的发展具有理论指导和实际应用价值。     

企业年金积累期的最优动态资产配置策略

替代率是评价企业年金基金投资效果的重要指标之一.本文构建了与替代率挂钩的目标基金,建立了基于目标的企业年金基金最优资产配置模型,利用随机动态规划方法获得了年金基金最优投资策略的解析解,并通过蒙特卡洛模拟技术对所得结果进行数值模拟,考察了不同市场环境及不同群体的最优配置策略和最优策略对可控制参数的敏感性.结果表明:模型中参数对年金基金的最优配置策略各有不同影响,不同群体和不同金融市场中的最优策略也有差异,但总体而言最优资产配置策略具有高风险资产权重随着时间推移而降低的动态特征.     

基于保险精算的住房反向抵押贷款定价研究

住房反向抵押贷款是一种新型的住房金融产品,本文在文献综述的基础上对传统住房反向抵押贷款精算模型进行了修正,提出了基于浮动利率及变动房价的一次性支付产品和终生生存年金产品的定价模型,并利用历史数据对模型中的参数进行了估计。最后,本文采用蒙特卡洛模拟方法测算了不同年龄的借款人可以获得的贷款额度,并对利率和房价的敏感性进行了分析。结果显示,住房反向抵押贷款产品能够显著改善老年人的生活水平。     

DC型企业年金最优资产配置和给付方案问题研究

DC型企业年金管理者如何选择最优的资产配置策略和给付方案,以实现参保者最大的效用,是理论界和实务界都关注的问题。本文首次将生存者利益部分的精算规律考虑到个人年金账户余额变动满足的随机微分方程中,并将实际给付金额与预期给付中枢的二次偏差最小化作为优化目标。通过HJB变分方法,得到了最优的资产配置比例和最优给付方案的解析形式,并利用蒙特卡洛模拟方法研究了个人年金账户余额和预期给付中枢对最优策略的影响。结果表明:个人年金账户余额对实际给付金额和无风险资产配置比例存在正向影响;预期给付中枢对无风险资产配置比例存在负向影响。     

基于均值-CVaR模型的企业年金资产配置

基于均值-CVaR模型,根据<企业年金试行办法>中对企业年金基金投资方面的规定,以货币市场工具、中长期国债和金融债、可转债及股票4类投资工具为约束条件,构建了企业年金基金投资的资产配置模型;根据我国金融市场和企业年金基金的具体情况,计算出不同企业年金替代率下,4类投资工具的最优资产配置比例和相应资产配置的风险度量指标--年收益率的CVaR值;并在资产回报率服从正态分布假设下,分析了最优资产配置比例的变化.     

企业年金对我国退休职工养老保险收入替代率影响的实证分析

企业年金是多支柱养老保险体系的重要组成部分,在我国尚处于起步阶段。作为社会基本养老保险的重要补充,企业年金的发展将关系到我国未来整个养老保险体系的建立和发展;同时,也将在我国资本市场的完善和发展过程中,发挥重要的作用。本文运用模拟(Simulation)和情景分析方法,以我国目前的城镇养老保险制度为基础,模拟了未来不同情景下我国职工个体的基本养老保险收入替代率和企业年金给付的替代率,对企业年金对我国退休职工养老保险收入替代率的影响进行了定量分析和预测,指出了企业年金在提高退休职工收入替代率方面的放大作用,以及比基本养老保险在提高退休职工收入方面的更高效率。     

企业年金会计核算问题浅析

目前我国企业年金制度仍处于构建阶段,在企业实施企业年金制度的过程中,相关会计核算缺乏系统性,亟待研究,从而为企业年金制度的推广和完善夯实基础.关于企业年金变费的核算、企业年金基金进行投资、收入以及费用的计量和净资产的核算问题不尽统一,需要确定账务中的核算基础,明确企业年金的相关信息中的关键信息,明确界定企业年金会计核算的主体和核算的内容及程序,不断完善企业年金制度体系,加强国际交流与学习,不断壮大相关会计人员的业务素质,尤其是加强和推动企业年金会计基础理论的研究.     

基于精算模型参数调整的农村养老金可持续性仿真研究

随着人口老龄化进程加剧和新型农村社会养老保险制度全面覆盖,农村老年人群与养老需求激增,农村养老金收支失衡与不可持续风险快速加大。本文基于新农保筹资和给付的双重视角,应用总体法构建农村养老金收支与平衡精算模型,基于全国东、中、西部三省六县(市、区)新农保试点地区实地调研数据(有效问卷5031份),通过甄选并调整关键参数,预测农村养老金收支及差额变化与发展趋势,对其可持续性进行仿真研究,针对预测结果提出增强农村养老金可持续性的改革思路。研究结果表明,政策参数缴费率、补贴率和经济参数农民收入增长率、基金投资收益率的提高及其联动增长均有利于增强农村养老金的可持续性,而养老金计发月数的增减对农村养老金可持续性的影响方向并不统一,二者的联合增长对农村养老金的长期可持续性发展具有积极作用。本研究对于丰富、发展农村养老金精算建模与仿真理论、方法及农村社会保障制度完善、政策改进具有重要的理论意义和实践价值。     

长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

本文研究了资产收益可预测性影响长期投资者最优资产组合选择的理论问题,并结合中国证券市场历史数据做了相应的实证研究。研究结论表明:在长期投资期限下中国股票市场收益具有可预测性,长期投资者资产组合可以比短期投资者配置更高权重的风险资产。由此本文提出,可相应提高我国社保基金、企业年金和保险公司等长期投资者战略资产配置中股票类风险资产的投资比例上限。     

Demographic Trends and Pension System in Italy: an Assessment of 1990s Reforms

Abstract. In the last decade the Italian pension system underwent many changes. The process has started in 1992 with three major reform laws (passed in 1992, 1995 and 1997), supplemented by many other minor changes. Among the innovations introduced in the pay‐as‐you‐go social security system, the most important one is the more explicit link between pensions and contributions, and pensions and life expectancy at retirement. The purpose of this paper is to provide an assessment of both the short‐term and the long‐term effects of the social security reforms on pension expenditure. Notwithstanding the slowdown in the growth rate of the pension expenditure/GDP ratio, the measures adopted so far will not be sufficient to eliminate the existing social security deficit in the next decades, particularly under the assumption of moderate economic performance and rapid population ageing. Reducing public pension expenditure requires the completion of the 1995 reform, a more rapid move towards a multi‐pillar pension scheme, and the implementation of the much needed growth‐enhancing structural reforms.     

Occupational and Locational Substitution: Measuring the Effect of Occupational and Regional Mobility

The paper analyses the effects of occupational and regional mobility on the matching rate using monthly panel data disaggregated at the regional and occupational level. The main contribution of the paper is to measure the effect of substitutability between vacancies in different occupations, and vacancies in different regions on the matching rate. The estimates indicate higher regional mobility in West Germany but higher occupational mobility in East Germany. The results show that if occupations were perfect substitutes, then the number of matches could increase by 5–9 per cent. Perfect regional mobility would increase matchings by 5–15 per cent. It is also shown that partial aggregation causes a downward bias in substitutability estimates.     

基于生产函数模型的农民工对经济增长贡献率的测量

在充分考虑农民工和城市非农产业工人的生产率差异的基础上,本文利用新经济增长理论中的生产函数模型来分析农民工对经济增长的贡献,并给出了贡献率和年平均贡献率的定义及测算公式,最后利用我国1995 -2005年的数据进行了实证分析。实证结果表明,在考察期内,农民工在我国经济增长的平均贡献率达到13.2%。     

Inter‐temporal and Inter‐industry Effects of Population Ageing: A General Equilibrium Assessment for Canada

Abstract. This paper examines the inter‐industry and labour market occupational effects of future demographic changes in Canada, using a computable overlapping‐generations model. In addition to the impact of slower labour force growth, the model captures the shift in sectoral composition of final demand of older individuals. The simulation results indicate that the growth in real GDP per capita could decline by nearly one percentage point between 2006 and 2050. The results also suggest that the equilibrium unemployment rate is likely to decline by more than two percentage points in the long run. However, the impact varies significantly at the occupational level.     

中国银行体系脆弱性问题的实证研究

本文对中国银行体系的脆弱性进行了计量实证 ,认为宏观经济变量对银行体系的脆弱性的影响甚于金融变量和其他变量 ,其中消费的增长率、投资增长率以及实际利率对银行体系稳定性的影响在１０ %水平上显著相关。本文还从制度层面上讨论了中国银行体系的脆弱性问题并非是主要来源于金融市场化过程中的风险 ,而是更深层次地孕育在转轨过程中的制度环境中。一、文献概览银行体系脆弱性问题的早期研究文献主要是针对单个的银行的研究 ,其中最权威的论文当数Ｄｉａｍｏｎｄ和Ｄｙｂｖｉｇ（１９８３）的《ＢａｎｋＲｕｎｓ ,ＤｅｐｏｓｉｔＩｎｓｕ…     

非独立并联生产系统的DEA效率评价研究

对复杂生产系统进行效率评价,是改善其生产效率的基础.针对非独立并联结构生产系统的效率评价问题开展研究.首先,将两阶段非独立并联生产系统等价为先并联后串联结构的混联生产系统;其次,将混联生产系统的整体效率定义为各串联子系统效率的乘积,而各个串联子系统的效率则定义为内部各并联子系统效率的加权和,并给出了对应的DEA效率评价模型;最后,有关定理和算例分析证实了该模型能更合理地评价此类生产系统的技术效率,能够更大程度地挖掘系统整体性能改善的潜力.     

Hexavalent Chromium and Lung Cancer in the Chromate Industry: A Quantitative Risk Assessment

The purpose of this investigation was to estimate excess lifetime risk of lung cancer death resulting from occupational exposure to hexavalent-chromium-containing dusts and mists. The mortality experience in a previously studied cohort of 2,357 chromate chemical production workers with 122 lung cancer deaths was analyzed with Poisson regression methods. Extensive records of air samples evaluated for water-soluble total hexavalent chromium were available for the entire employment history of this cohort. Six different models of exposure-response for hexavalent chromium were evaluated by comparing deviances and inspection of cubic splines. Smoking (pack-years) imputed from cigarette use at hire was included in the model. Lifetime risks of lung cancer death from exposure to hexavalent chromium (assuming up to 45 years of exposure) were estimated using an actuarial calculation that accounts for competing causes of death. A linear relative rate model gave a good and readily interpretable fit to the data. The estimated rate ratio for 1 mg/m3-yr of cumulative exposure to hexavalent chromium (as CrO3), with a lag of five years, was RR=2.44 (95% CI=1.54-3.83). The excess lifetime risk of lung cancer death from exposure to hexavalent chromium at the current OSHA permissible exposure limit (PEL) (0.10 mg/m3) was estimated to be 255 per 1,000 (95% CI: 109-416). This estimate is comparable to previous estimates by U.S. EPA, California EPA, and OSHA using different occupational data. Our analysis predicts that current occupational standards for hexavalent chromium permit a lifetime excess risk of dying of lung cancer that exceeds 1 in 10, which is consistent with previous risk assessments.