| 中国基本养老金的资产负债管理模型构建——基于多阶段随机规划视角 |
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| 引用本文： | 俞慧君,王忠民. 中国基本养老金的资产负债管理模型构建——基于多阶段随机规划视角[J]. 西北大学学报(哲学社会科学版), 2012, 42(3): 68-74 |
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| 作者姓名： | 俞慧君 王忠民 |
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| 作者单位： | 1. 西北大学 经济管理学院,陕西 西安 710069;北京城市学院 国际语言文化学部,北京 100093
2. 西北大学 经济管理学院,陕西 西安 710069;全国社会保障基金理事会,北京 100032 |
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| 基金项目： | 国家社科基金青年项目(10CGL036) |
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| 摘 要： | 人口结构的剧烈变化,体制改革带来的巨额隐性债务,"混账"管理模式的"空账"问题,使得中国基本养老金面临支付危机,提高基金缴纳款不符合我国加剧的老龄化国情,因而通过提高资产组合收益来实现基本养老金的保值增值,是确保养老体制改革成功的关键。本文结合国际上先进的研究成果以及我国基本养老金的自身特点,根据统筹账户与个人账户基金的不同性质与目标,分别构建了多阶段的资产负债管理模型,利用随机规划方法为中国基本养老金提供了一个全面的、动态的分析框架。
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| 关 键 词： | 养老金 资产负债管理 随机规划 |
Asset Liability Management Model for Chinese Basic Pension Fund Using Multistage Stochastic Programming |
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| YU Hui-jun , WANG Zhong-min. Asset Liability Management Model for Chinese Basic Pension Fund Using Multistage Stochastic Programming[J]. Journal of Northwest University(Philosophy and Social Sciences Edition), 2012, 42(3): 68-74 |
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| Authors: | YU Hui-jun WANG Zhong-min |
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| Affiliation: | 1,3(1.School of Economics and Management,Northwest University,Xi′an 710069,China;2.International Language and Culture Administration,Beijing City University,Beijing 100083,China;3.National Council for Social Security Fund The Peoples Pepublic of China,Beijing 100032,China) |
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| Abstract: | A drastic change of population structure,the large implicit pension debt,the "empty account" problem brought by combined management mode,make Chinese basic pension fund face crisis of payment.To enlarge the fund can’t accord with the situation of increasing aging,thus the key to preserve and increase value and ensure the success of the pension system reform,is to improve asset portfolio returns.This paper combines the international advanced research with the characteristics of basic pension fund in China construct respectively asset liability management models,by using stochastic programming to provide a comprehensive and dynamic analysis framework for Chinese basic pension fund. |
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| Keywords: | pension fund asset liability management stochastic programming |
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