不同投資策略下勞退新制收益率保證成本與所得替代率之探討

勞退新制已於民國94年7月正式實施，退休金給付型態由原先的確定給付制改為確定才是械制。目前勞退新制個人帳戶制的投資運作為統一管理，為避免勞工退休金的不適足，退休基金設有最低收益保證械制，實際投資報酬率不足保證最低收益率者，差額由國庫補貼。對於未來是否開放由勞工自行投資以及收益率保證的存廢，近年來有許多的討論，本研究在勞工可自行選擇投資組合的狀況下，分析各種投資策略對於保證成本與所得替代率之影響。本文考慮買進持有、依據過往績效或者設定門檻等投資策略，以模擬方式來分析勞工之所得替代率及保證成本，假設投資組合價格符合幾何布朗運動，利率動態符合CIR模型，並且根據國內市場資料估計模型參數。研究結果持現：在勞退新制的保證械制下，若開放多種投資組合供勞工選擇，且勞工不用負擔保設成本時，選擇具有高預期報酬率的高風險投資組合會提高預期所得替代率；另外，投資策略、利率參數以及交易成本，皆會影響國庫補貼金額。

關鍵字

勞工退休金制度；確定提抑制；收益率保證；行為財務學；處分效果

並列摘要

The labor pension plan in Taiwan was reformed from defined benefit (DB) plan to defined contribution (DC) plan in July 2005. The operation of the pension fund is under a single-fund design and incorporates a minimum rate of return guarantee. This paper attempts to evaluate the cost of such guarantee and investigate how investment strategies affect the guarantee cost and the income-replacement ratio under a multiple-fund setting. We consider the buy-and-hold strategy, threshold strategy and the strategies related to the past performance of the alternative portfolios. We adopt Monte Carlo simulation to carry out the numerical analysis. The numerical results show that when employees do not need to pay for the guarantee, they can choose the risky portfolio with high expected rate of return to maximize their expected retirement benefits. In addition, the guarantee cost is affected by investment strategies, the parameters of the interest-rate model and the transaction cost.