最优投资组合下企业年金替代率研究

Research on the Replacement Rate of Enterprise Annuity under Optimal Investment Portfolio

构建精算模型探讨最优投资组合下企业年金替代率水平。通过深度学习模型Informer预测主要投资工具的未来36期收益率,结合2003年6月~2023年3月数据,运用均值–方差模型模拟不同约束目标对应的最优投资组合及其收益率,Lee-Carter模型预测2022~2031年死亡率测算退休后的生存概率,最后得出权益类资产中公募基金对股票有替代效应、现有企业年金替代率较低且男性替代率大于女性的结论。

An actuarial model is constructed to explore the level of enterprise annuity replacement rate under optimal investment portfolio. Using the deep learning model Informer to predict the future 36 period returns of major investment tools, combined with data from June 2003 to March 2023, the mean variance model is used to simulate the optimal investment portfolio and its returns corresponding to different constraint objectives. The Lee-Carter model predicted the mortality rate from 2022 to 2031 and calculated the survival probability after retirement. Finally, it is concluded that mutual funds have a substitution effect on stocks in equity assets, the replacement rate of existing enterprise annuity is lower and the replacement rate of males is greater than that of females.