曾郁仁楊曉文臺灣大學：唐俊華Tang, Chun-HuaChun-HuaTang2007-11-282018-07-092007-11-282018-07-092007http://ntur.lib.ntu.edu.tw//handle/246246/60666本論文包含兩篇文章，皆是以附收益率保證確定提撥制退休金計畫為研究主軸。第一篇文章推導附收益率保證之評價公式，此收益率保證乃是連結至Delta-年期定存利率，並且兼具互換選擇權、路徑相依選擇權、遠期生效選擇權之性質。本文同時考慮兩種保證型態：到期日保證與多期保證，運用平賭訂價理論以及Margrabe (1978)的方法，在一因子HJM利率模型下推導這兩種保證的價格公式解，並且分析重要參數對價格的影響。第二篇文章延續第一篇的保證型態，分析投資策略與行為是否會影響保證成本與退休金收益。本文假設利率動態遵循CIR模型，並設定買進持有策略與多種更換投資組合策略，以模擬方式得到保證成本與退休金收益的數值結果。在本文的保證型態與參數設定下，計畫參與者可以買進具有高報酬率與高波動率的投資組合並持有至退休日，以獲得高預期退休金收益；此外，在考慮更換投資組合的行為後，保證成本可能會上升，這反應出：附收益率保證退休金計畫發行者在評估保證成本時，必須將參與者可能的投資行為納入考慮，以免低估成本。This doctoral dissertation contains two essays to study the minimum rate of return guarantees embedded in defined contribution pension plans. The first essay derives the explicit formulae to value these guarantees. Different from previous studies, we analyze the guarantees linked to the delta-year spot rates. Two types of guarantees are considered: maturity guarantee and multi-period guarantee. These guarantees have mixed features of exchange options, path-dependent options and forward start options. We adopt the one-factor HJM model to describe the evolution of interest rates. The closed-form formulae are derived by the martingale pricing theory and Margrabe’s (1978) approach. We also present numerical results and analyze how the values change with the parameter estimates. The second essay investigates how investment strategies and behaviors affect guarantee costs and retirement benefits in defined contribution plans that provide interest rate guarantees. Several investment strategies are considered, including both a buy-and-hold strategy without portfolio modifications and those that allow frequent modifications of the portfolio during the accumulation phase. According to the numerical results offered by simulation techniques, a participant chasing the highest expected retirement benefits should adopt the buy-and-hold strategy and distribute all contributions in the portfolio with high expected rate of return and high volatility in our guarantee designs. After incorporating frequent modification behaviors, averages and risk measures of guarantee costs may be higher than when the participant always holds the portfolio with high expected rate of return and volatility. Therefore, when the pension plan provides rate of return guarantees, the plan provider cannot ignore the impact of the participant’s frequent modification behaviors.口試委員會審定書 i 謝 辭 ii 中文摘要 iii Abstract iv The First Essay: Valuation of Interest Rate Guarantees Embedded in Defined Contribution Pension Plans 1 1. Introduction 2 2. Structures of Guarantees and Financial Model Settings 6 3. Valuation of Interest Rate Guarantees 11 3.1 Type-I Guarantee (Maturity Guarantee) 11 3.2 Type-II Guarantee (Multi-Period Guarantee) 19 4. Numerical Results and Sensitivity Analysis 23 5. Extension Research under the Setting of Exponentially Decaying Volatility 30 6. Conclusions 39 References 41 Appendix 44 The Second Essay: Impacts of Investment Strategies and Participants’ Behaviors on Guarantee Costs and Retirement Benefits in Defined Contribution Pension Plans 51 1. Introduction 52 2. Structures of Guarantees, Financial Models, and Strategies 58 2.1 Structures of Guarantees 58 2.2 Interest Rate and Portfolio Price Dynamics 59 2.3 Investment Strategies and Participants’ Behaviors 61 2.4 Actual Rate of Return and Income Replacement Ratio 65 3. Numerical Results 66 3.1 Results for S1 (Buy-and-Hold Strategy) 67 3.2 Results for Strategies S2-S7 (with Modification) 81 4. Conclusions 92 References 94 Appendix 100582670 bytesapplication/pdfen-US確定提撥制退休金計畫收益率保證平賭訂價理論HJM模型CIR模型行為財務學錯置效果Defined ContributionPension PlanRate of Return GuaranteeMartingale Pricing TheoryHJM ModelCIR modelBehavioral FinanceDisposition Effectthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60666/1/ntu-96-D91723006-1.pdf