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 Valuation of Pension Benefit Guaranty under Stochastic Interest Rate

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/11792

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/11792

Title:	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 Valuation of Pension Benefit Guaranty under Stochastic Interest Rate
Authors:	張仕亮;Shi-Liang Chang
Contributors:	財務金融研究所
Keywords:	退休基金保險公司;基金負債比率;正常成本;固定提撥率;PBGC;Funding Ratio;Normal Cost;Pension Plan Contribution
Date:	2001-01-10
Issue Date:	2009-09-22 14:32:17 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	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。 This study extends Kalra and Jain ’s (1997) framework to value the premium of Pension Benefit Guaranty Corporation (PBGC) for single-employer defined benefit pension plans. Our model incorporates “salary rate” and “stochastic interest rate”. Moreover, three termination conditions are presented in this study, distress termination, involuntary termination and individual decrement. Monte Carlo Simulation is used to calculate the premium of PBGC for different pension funding ratios, sponsoring firm’s debt ratios (debts/assets), decrement rates, the participants’ age and distinct salaries. The results of the valuation for a number of simulation scenarios demonstrate that estimated premiums are higher than the actual premium charged by the PBGC.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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