基于随机模拟的企业年金替代率模型及敏感性分析

The DC Pension Replacement Ratio Model and Sensitivity Analysis Based on Stochastic Simulation

本文利用蒙特卡洛方法随机模拟投资收益率,构建了企业年金替代率模型,并进一步对影响企业年金替代率的各个因素进行敏感性分析,探讨工资增长率和退休年龄变化对替代率的影响。本文量化分析了不同的资产配置策略和缴费率模式对替代率的影响,并引入Lifestyle型动态资产配置策略和动态缴费率模式,根据模型的分析结果,从延长退休年龄、控制工资增长率、放松对年金基金资产配置的强制规定和引入逐年递增的动态缴费率模式等方面对提高企业年金替代率提出了相应的政策建议。

This paper simulates asset returns with Monte Carlo method, calculates annuity rate with insurance industry mortality rate and historical yield curve. Based on these, the authors build DC pension replacement ratio model, then carry on the sensitivity analysis of the elements influencing lhe replacement ratio and discuss the influence of wage growth rate and retirement age on the replacement ratio. This paper analyzes how the different asset allocation strategy and contribution rate affect the replacement ratio, then introduces the dynamic lifestyle model and dynamic contribution rate model. According to the result, the authors suggest some approaches to improve the performance of DC pension, in terms of retirement defer, wage growth rate control, the regulation of pension asset allocation strategy and dynamic contribution rate.