Valuation of Rate of Return Guarantees under a Defined Contribution Pension Plan Considering the Choice of Retirement Age

退休年齡選擇下確定提撥退休金制度收益率保證之評價

唐俊華(Chun-Hua Tang) ； 楊曉文(Sharon S. Yang)

《財務金融學刊》 20卷1期 (2012/03) Pp. 91-113

https://doi.org/10.6545/JFS.2012.20(1).4

摘要

本研究探討確定提撥退休金制度收益率保證之評價，在考量退休年齡選擇下，收益率保證有類似於財務美式選擇權的特性，因此，有別於文獻上將收益率保證視為歐式選擇權來評價，我們在退休金制度中退休年齡可選擇的情況下來評價，並以臺灣勞退新制做為範例。現行臺灣勞退新制提供之保證收益率為二年期定存利率，本研究以Heath et al.（1992）的架構來描述利率過程，並假設資產價格服從幾何布朗運動，使用Longstaff and Schwartz（2001）提出的最小平方蒙地卡羅模擬法（Least Squares Monte Carlo）進行評價。研究發現：在提早退休的情況下，收益率保證選擇權的價值較低，而延後退休會增加收益率保證選擇權的價值，因此在評估保證成本時，應考慮退休年齡的影響。

關鍵字

退休金制度 ； 確定提撥制 ； 收益率保證 ； 美式選擇權

並列摘要

This paper studies the valuation of the rate of return guarantee under a DC pension plan considering the choice of retirement age. In this setting, the rate of return guarantee can be referred to as the American option. We carry out a simulation study using the Least Squares Monte Carlo (LSM) approach proposed by Longstaff and Schwartz (2001) to calculate the value of the rate of return guarantee. We also compare the results with the case where the retirement age is fixed. We illustrate the valuation of the rate of return guarantee for the new Labor Pension Plan in Taiwan. The numerical analysis demonstrates that the guarantee value is lower with early retirement but higher with late retirement. The effect of the retirement age on the value of the rate return guarantee is significant.

並列關鍵字

Pension plan ； defined contribution ； rate of return guarantees ； American options

參考文獻

The Council of Labor Affairs of Executive Yuan in Taiwan, Labor Pension Act.

The Council of Labor Affairs of Executive Yuan in Taiwan, Implementation Rules of the Labor Pension Act.

The Council of Labor Affairs of Executive Yuan in Taiwan, Pension Fund Management/Utilization and Profit/Loss Allocation Regulations of the Labor Pension Act.

The Council of Labor Affairs of Executive Yuan in Taiwan, Labor Standards Act.

Andeatta, G. and S. Corradin, 2003, Valuing the surrender options embedded in a portfolio of Italian life guaranteed participating policies: a least squares Monte Carlo approach (Working paper).