Parametric Statistical Model and Selection Bias in

• Main Authors: Chen, Hung-Jen, 陳宏仁
• Other Authors: 張士傑
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/95519189794106623686

碩士 === 國立政治大學 === 風險管理與保險學系 === 87 === The adequacy of the plan contribution for a defined benefit pension scheme is directly related to its financial soundness and the plan member’s benefits. Due to uncertainty of the plan’s turnover, the service table plays an important role in actuarial valuation and cash flow projection. In this study, Taiwan public employees retirement system is studied to monitor the solvency issue due to bias in selecting the service tables. Tai-PERS is designed to provide retirement and ancillary benefits to 271,215 government employees. Its financial soundness is especially vital to the government annual balance. The plan contribution and projected cash flows of Tai-PERS are investigated using various sampling results. The distribution of the new entrants is assumed to follow the mixture model to describe the recruiting results. Then dynamic simulations under the open group assumption are performed to predict the future fund assets and cash flows. The results show significant differences in employing various service tables. Hence selecting proper demographic assumptions is particular important in pension valuation. Under our approach, the workforce of Tai-PERS is aging given the current plan population. Based on the given scenario, the projected plan assets increase and then decrease to be insolvent in 2032. Some interesting results are also discussed.