ARMA模型在我国企业年金预测中的应用

The Application of ARMA Model in China's Enterprise Annuity Predication

我国自2004年实行企业年金以来,到目前为止已经获得了相当不错的成效。故本文以年金缴费的时间序列数据为基础,对2010年1月至2015年3月共21个季度的数据做了平稳化的处理,建立了自回归滑动平均模型(ARMA),并对其进行了拟合预测,发现实际的拟合结果与真实值接近。表明ARMA模型在年金的相关运用中,除了精算现值外,在预测方面也有重要作用。

Since China＇s enterprise annuity was implemented in 2004,it has achieved very good results. Therefore,based on the time series data of annuity payment,the essay did a smoothing treatment about the data of a total of 13 quarters,established ARMA model and made a prediction. As a result,we found that the fitting results approached to the true value. It proves that ARMA model in the application of annuity has an important role in forecasting besides the actuarial present value.