勞工保險老年給付年金制之資產負債管理探討

• Main Author: 莊竣名
• Other Authors: Wang, Jennifer L.
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/16589554864370022379

碩士 === 國立政治大學 === 風險管理與保險研究所 === 91 === This paper investigates the Asset-Liability Management for Labor Insurance Fund. We utilize Immunization Theory and Portfolio Theory selection model to immunize the surplus of Labor Insurance Funds against interest-rate fluctuations and to maximize expected return of Labor Insurance Funds simultaneously. In addition, we use the data from Labor Insurance Funds from 1992 to 2002 to demonstrate the implementation of our model. We calculate the optimal asset allocation and the ALM cost under different lump-sum/annuity selection ratio、time horizon and contribution rates. The empirical results from this study show that： 1. Assuming 100% and 80% participants choice annuity, to prevent the insolvency of Labor Insurance Fund from interest-rate fluctuations in 30 and 40 years, the Labor Insurance premium must increase to 8.3%. Assuming 50% participants choice annuity, to prevent the insolvency of Labor Insurance Fund from interest-rate fluctuations in 50 years, the Labor Insurance premium must increase to 8%. 2. To prolong the period over which the Labor Insurance Funds can immunize its surplus against interest-rate fluctuations, a large proportion of the investment asset should be allocate from bank deposit to bond and stock. 3. ALM needs cost. Assuming 100% participants choice annuity, the average ALM cost is 0.3695%.Assuming 80% participants choice annuity, the average ALM cost is 0.434%.Assuming 50% participants choice annuity, the average ALM cost is 0.384%. We find the average ALM cost is very small under any lump-sum/annuity selection ratio. Therefore, we suggest Bureau of Labor Insurance should start to implement ALM as soon as possible to avoid the affect of interest-rate fluctuations.