现收现付制养老保险风险量化及应对策略

The risk quantitative analysis for pay-as-you-go pension insurance and countermeasures

现收现付制养老保险是一种代际转移的制度,其可持续发展的经济学基础为生产力、工资和人口三者的综合增长因素能够维持代际转移,从而保证人们退休后能够维持稳定的工资替代率。这三种因素的波动形成了一定的风险。如何量化和管理这些风险是本文的研究主题。本文将给出代际人口比例和代际工资比例满足的随机微分方程。基于此,考虑在给定缴费比例和工资替代率条件下,养老保险计划出现支付危机的概率分布。进而,为了寻找风险与收益的平衡,研究现收现付制养老保险的VaR。最后,利用中国的实际统计数据,对本文的理论结果给予实证阐述,并提出应对的策略。

The pay-as-you-go pension insurance is an intergenerational transfer system whose economic foundation for sustainable development is that the growth of productivity, salaries and population can sustain the intergenerational transfer, thus ensuring retirees can maintain a stable salary replacement ratio. The fluctuation of each of these factors will pose challenges to this system. The focus of the paper is to study how to make a quantitative analysis of these risks and how to manage them. The paper offered a stochastic differential equation that the intergenerational population ratio and salary ratio suffice to meet. Based on these prerequisites, with given contribution ratio and salary replacement ratio, it projected the probability distribution of the payment crisis of the pension system. Furthermore, it tried to locate the equilibrium of risk and return and study the VaR of the pay-as-you-go pension system. Finally, it used China＇s actual statistics to exponentially demonstrate the theoretical conclusion, and provided with some countermeasures.