养老金资产耗尽风险的识别与测度

Identification and Measurement of Retirement Portfolio Ruin Probability

养老金资产的收支平衡是所有国家,特别是发展中国家面临的重要课题。对养老金资产的耗尽风险测度工具进行了模型推导,识别了消费率、平均剩余寿命、投资收益率、波动率等因素对耗尽风险的影响。并根据中国人口统计数据运用该工具对中国养老金资产的耗尽风险进行测度,这四个因素的影响弹性依次为:0.0503、0.0173、-0.0523和0.0187。进而为中国养老金未来防范耗尽风险,促进收支平衡提出了相应的建议。

The balance of retirement portfolio is a very important issue for all the countries, especially the developing countries. Model deduction on the retirement ruin tool of retirement portfolio is conducted, identified the impact on retirement ruin by such factors as withdrawal rate, median remaining lifespan, investment return and investment volatility. And use the tool to measure the retirement ruin of retirement portfolio in China according to the demographical statistics data of China, it also puts forward relevant suggestions to prevent the retirement ruin and promote the balance of retirement portfolio in China.