社会养老保险中隐性债务的双随机模型

Dual random models for implicit pension debt in social pension system

本文在利率与死亡率均为随机的背景下,对我国社会养老保险制度中的隐性债务进行分析.提出了两种方法,得到了养老金给付现值的期望值和方差,并对利率以Wiener过程建模,得到了期望值和方差的具体表达式.在实例中,采用Monte Carlo仿真的方法得到了养老金给付现值及其近似替代值的经验分布.

This paper analyzes the implicit pension debt in social pension system in a stochastic interest rate and stochastic mortality environment. Two methods are proposed to calculate the expected value and the variance of the present value of the pension benefits. The concrete expressions of the expected value and the variance are derived when the interest rate model is constructed with Wiener process. In a numerical example, the Monte Carlo method is used to get the empirical distributions of both the present value of the pension benefits and its approximation.