We present a solution based on a suitable combination of heuristics and parallel processing techniques for finding the best allocation of the financial assets of a pension fund, taking into account all the specific ru...We present a solution based on a suitable combination of heuristics and parallel processing techniques for finding the best allocation of the financial assets of a pension fund, taking into account all the specific rules of the fund. We compare the values of an objective function computed with respect to a large set (thousands) of possible scenarios for the evolution of the Net Asset Value (NAV) of the share of each asset class in which the financial capital of the fund is invested. Our approach does not depend neither on the model used for the evolution of the NAVs nor on the objective function. In particular, it does not require any linearization or similar approximations of the problem. Although we applied it to a situation in which the number of possible asset classes is limited to few units (six in the specific case), the same approach can be followed also in other cases by grouping asset classes according to their features.展开更多
Pension insurance is a vital component of China's social security system,ensuring the welfare of the general publie.This study centers on the revenue and expenses of City S's urban employee basic pension insur...Pension insurance is a vital component of China's social security system,ensuring the welfare of the general publie.This study centers on the revenue and expenses of City S's urban employee basic pension insurance fund.It introduces and analyzes the fund's accounting status from four key perspectives:fund raising.expenditure,financial statement system,and accounting information disclosure.The research identifes existing problems in City S's accounting system and conducts in-depth research on these issues.Furthermore,an empirical analysis is conducted on the management of the pension insurance fund.Through this empirical study,the paper aims to offer insights and recommendations for promoting stable and healthy development measures for City S'8 urban employee basic pension insurance fund.展开更多
In this paper, we construct a general model for a pension fund when there are time delays in the valuation process. Actually, we use the standard structure of the basic reserve equation in order to rebuild a more soph...In this paper, we construct a general model for a pension fund when there are time delays in the valuation process. Actually, we use the standard structure of the basic reserve equation in order to rebuild a more sophisticated approach based on the theory of H<sub>∞</sub> control. Our model evaluates the incomplete information from the delayed fund valuations—due to the oscillatory pattern for benefit claims and investment experience of the past years—within the context of uncertainty additionally to the randomness which certainly exists. So, we construct estimations for the optimal proposed contribution rates based on a feedback mechanism which is a robust stabilization controller, using typical linear matrix inequalities. Finally, a numerical application is fully investigated to obtain further insight into the problem.展开更多
To analyze the efect of the state-owned capital transfer policy on the sustainability of China's urban employee basic pension insurance fund(CUEBPIF),this study develops an actuarial model for pension insurance.Th...To analyze the efect of the state-owned capital transfer policy on the sustainability of China's urban employee basic pension insurance fund(CUEBPIF),this study develops an actuarial model for pension insurance.The results reveal the following:(i)Without policy intervention,the CUEBPIF would face a deficit in 2027 and a cumulative shortfall of RMB207.44 trillion by 2050,and the proportion of fiscal subsidies for the CUEBPIF in the total fiscal expenditure would increase to 12.86 percent in 2050.(i)Based on a delayed retirement policy,the transfer of 10 percent of state-owned capital can delay the onset of the fund deficit by 6 years,and the accumulated shortfall in 2050 would fall to RMB39.42 trillion,and the proportion of fiscal subsidies would decrease by I1.77 percentage points.(ii)The state-owned capital transfer policy can improve the sustainability of the CUEBPIF and reduce the burden of enterprise social security contributions when the transfer ratio increases to 20 percent.展开更多
This paper aims to construct a mathematical model for choosing a proper policy about raising retirement age on the basis of the interaction between shortage of pension funds and labor market.It has also conducted a si...This paper aims to construct a mathematical model for choosing a proper policy about raising retirement age on the basis of the interaction between shortage of pension funds and labor market.It has also conducted a simulation analysis over the economic efficiency and political feasibility of a uniformed or a differentiated retirement-age delay policy.Our findings show that it is up to how effective the pension deficit is closed,how many employments will be crowded out,and whether it is politically acceptable that the length and kind of the delay is decided.From the policy effect of raising retirement age,a soft approach to delaying retirement will be better than a tough one,and a differentiated method will be better than a uniformed one.The root cause for the inconsistency of the policy effect is the discrepancies in terms of wage rate and job fulfillment,brought by different human capital situations and individual differences of the insured.The shortage of pension funds can be more effectively closed,and the impact on new labor force will be reduced,if we employ a differentiated approach to delay retirement according to the pattern of human capital accumulation and the supply and demand status of labor force.However,the policy effect of raising retirement age will not be maximized unless the human capital situation is improved.In order to resolve the pensions crisis and alleviate the pressure of unemployment,it is unavoidable that the insured,especially the low-skilled labor,can get more vocational training and academic education.展开更多
This paper studies two multi-period mean-variance investment problems for a DC pension member before and after retirement.At any time,the pension manager can invest in a risk-free asset and multi-risky assets.Before r...This paper studies two multi-period mean-variance investment problems for a DC pension member before and after retirement.At any time,the pension manager can invest in a risk-free asset and multi-risky assets.Before retirement,the manager tries to optimize the mean-variance utility of the wealth in the member’s pension account at retirement.At retirement,the pension account wealth(or part of it)is used to purchase a paid-up annuity.After retirement,the manager has to pay the guaranteed annuity,continues to invest,and aims to optimize the mean-variance utility of the terminal wealth at a fix future time,to satisfy the pension member’s heritage and life needs in the next stage.Interest rate risk and income risk are introduced.Applying the game theory and the extended Bellman equation,the time-consistent investment strategies and the efficient frontiers before and after retirement are obtained explicitly.Obtained results indicate that the stochastic interest rate and the stochastic income have essential effects on the investment strategies.展开更多
Based on an analysis of China 's current pension system, the present paper indicates that risk control of pension fund management is a serious policy challenge for the Chinese Government. Although some reform efforts...Based on an analysis of China 's current pension system, the present paper indicates that risk control of pension fund management is a serious policy challenge for the Chinese Government. Although some reform efforts have been made, there are still serious institutional and capital market risks that are difficult to overcome but are key in the success of China's pension reform. To ensure a smooth transition in pension reform, China not only needs to build a better institutional framework and facilitate capital market development, but also raise the risk awareness of individual pensioners.展开更多
With the rapid population aging,the payment crisis of China’s pension insurance fund is increasing yearly.The government adjusts fertility policy to alleviate population aging and improve the solvency of pension insu...With the rapid population aging,the payment crisis of China’s pension insurance fund is increasing yearly.The government adjusts fertility policy to alleviate population aging and improve the solvency of pension insurance fund.On January1,2016,China’s fertility policy was adjusted from“selective two-child policy”to universal two-child policy.This paper establishes actuarial models to analyze how fertility policy adjustment influences the pension insurance fund and concludes as follows:(1)if the“one-child policy”were still employed,the accumulated deficit of pension insurance fund would appear in the year of 2076;(2)if all couples that satisfy the rules of“selective two-child policy”bear the second child,the time of accumulated deficit of pension insurance fund would be postponed by about 9 years;(3)after implementing universal two-child policy,the time of accumulated deficit of pension insurance fund would delay under different situations of fertility intentions,if more than 54% of the qualified couples bear a second child,the accumulated deficit of pension insurance fund would not appear before 2090.The above conclusions have passed the sensitivity tests.Therefore,“two-child policy”can alleviate the payment pressure of pension insurance fund.If the government wants to solve the payment crisis of pension insurance fund,fertility intentions should be improved.展开更多
文摘We present a solution based on a suitable combination of heuristics and parallel processing techniques for finding the best allocation of the financial assets of a pension fund, taking into account all the specific rules of the fund. We compare the values of an objective function computed with respect to a large set (thousands) of possible scenarios for the evolution of the Net Asset Value (NAV) of the share of each asset class in which the financial capital of the fund is invested. Our approach does not depend neither on the model used for the evolution of the NAVs nor on the objective function. In particular, it does not require any linearization or similar approximations of the problem. Although we applied it to a situation in which the number of possible asset classes is limited to few units (six in the specific case), the same approach can be followed also in other cases by grouping asset classes according to their features.
文摘Pension insurance is a vital component of China's social security system,ensuring the welfare of the general publie.This study centers on the revenue and expenses of City S's urban employee basic pension insurance fund.It introduces and analyzes the fund's accounting status from four key perspectives:fund raising.expenditure,financial statement system,and accounting information disclosure.The research identifes existing problems in City S's accounting system and conducts in-depth research on these issues.Furthermore,an empirical analysis is conducted on the management of the pension insurance fund.Through this empirical study,the paper aims to offer insights and recommendations for promoting stable and healthy development measures for City S'8 urban employee basic pension insurance fund.
基金sponsored by the National Social Sciences Foundation Program,An Evaluation of the Impact of China’s Family Planning Policy Adjustment on the Sustainability of the Social Security Fund and A Study of the Relevant Countermeasures(Grant No.15XRK005,chaired by:Zeng Yi)
文摘In this paper, we construct a general model for a pension fund when there are time delays in the valuation process. Actually, we use the standard structure of the basic reserve equation in order to rebuild a more sophisticated approach based on the theory of H<sub>∞</sub> control. Our model evaluates the incomplete information from the delayed fund valuations—due to the oscillatory pattern for benefit claims and investment experience of the past years—within the context of uncertainty additionally to the randomness which certainly exists. So, we construct estimations for the optimal proposed contribution rates based on a feedback mechanism which is a robust stabilization controller, using typical linear matrix inequalities. Finally, a numerical application is fully investigated to obtain further insight into the problem.
基金supported financially by the National Social ScienceFund of China(No.21CZZ028).
文摘To analyze the efect of the state-owned capital transfer policy on the sustainability of China's urban employee basic pension insurance fund(CUEBPIF),this study develops an actuarial model for pension insurance.The results reveal the following:(i)Without policy intervention,the CUEBPIF would face a deficit in 2027 and a cumulative shortfall of RMB207.44 trillion by 2050,and the proportion of fiscal subsidies for the CUEBPIF in the total fiscal expenditure would increase to 12.86 percent in 2050.(i)Based on a delayed retirement policy,the transfer of 10 percent of state-owned capital can delay the onset of the fund deficit by 6 years,and the accumulated shortfall in 2050 would fall to RMB39.42 trillion,and the proportion of fiscal subsidies would decrease by I1.77 percentage points.(ii)The state-owned capital transfer policy can improve the sustainability of the CUEBPIF and reduce the burden of enterprise social security contributions when the transfer ratio increases to 20 percent.
文摘This paper aims to construct a mathematical model for choosing a proper policy about raising retirement age on the basis of the interaction between shortage of pension funds and labor market.It has also conducted a simulation analysis over the economic efficiency and political feasibility of a uniformed or a differentiated retirement-age delay policy.Our findings show that it is up to how effective the pension deficit is closed,how many employments will be crowded out,and whether it is politically acceptable that the length and kind of the delay is decided.From the policy effect of raising retirement age,a soft approach to delaying retirement will be better than a tough one,and a differentiated method will be better than a uniformed one.The root cause for the inconsistency of the policy effect is the discrepancies in terms of wage rate and job fulfillment,brought by different human capital situations and individual differences of the insured.The shortage of pension funds can be more effectively closed,and the impact on new labor force will be reduced,if we employ a differentiated approach to delay retirement according to the pattern of human capital accumulation and the supply and demand status of labor force.However,the policy effect of raising retirement age will not be maximized unless the human capital situation is improved.In order to resolve the pensions crisis and alleviate the pressure of unemployment,it is unavoidable that the insured,especially the low-skilled labor,can get more vocational training and academic education.
基金supported by the National Natural Science Foundation of China(Nos.71991474,71721001 and 72001219).
文摘This paper studies two multi-period mean-variance investment problems for a DC pension member before and after retirement.At any time,the pension manager can invest in a risk-free asset and multi-risky assets.Before retirement,the manager tries to optimize the mean-variance utility of the wealth in the member’s pension account at retirement.At retirement,the pension account wealth(or part of it)is used to purchase a paid-up annuity.After retirement,the manager has to pay the guaranteed annuity,continues to invest,and aims to optimize the mean-variance utility of the terminal wealth at a fix future time,to satisfy the pension member’s heritage and life needs in the next stage.Interest rate risk and income risk are introduced.Applying the game theory and the extended Bellman equation,the time-consistent investment strategies and the efficient frontiers before and after retirement are obtained explicitly.Obtained results indicate that the stochastic interest rate and the stochastic income have essential effects on the investment strategies.
文摘Based on an analysis of China 's current pension system, the present paper indicates that risk control of pension fund management is a serious policy challenge for the Chinese Government. Although some reform efforts have been made, there are still serious institutional and capital market risks that are difficult to overcome but are key in the success of China's pension reform. To ensure a smooth transition in pension reform, China not only needs to build a better institutional framework and facilitate capital market development, but also raise the risk awareness of individual pensioners.
文摘With the rapid population aging,the payment crisis of China’s pension insurance fund is increasing yearly.The government adjusts fertility policy to alleviate population aging and improve the solvency of pension insurance fund.On January1,2016,China’s fertility policy was adjusted from“selective two-child policy”to universal two-child policy.This paper establishes actuarial models to analyze how fertility policy adjustment influences the pension insurance fund and concludes as follows:(1)if the“one-child policy”were still employed,the accumulated deficit of pension insurance fund would appear in the year of 2076;(2)if all couples that satisfy the rules of“selective two-child policy”bear the second child,the time of accumulated deficit of pension insurance fund would be postponed by about 9 years;(3)after implementing universal two-child policy,the time of accumulated deficit of pension insurance fund would delay under different situations of fertility intentions,if more than 54% of the qualified couples bear a second child,the accumulated deficit of pension insurance fund would not appear before 2090.The above conclusions have passed the sensitivity tests.Therefore,“two-child policy”can alleviate the payment pressure of pension insurance fund.If the government wants to solve the payment crisis of pension insurance fund,fertility intentions should be improved.