衡量利率保證給付在固定提撥制下之成本：不同投資策略之保證成本與所得替代率研究

Abstract

本研究探討於不同投資策略下，確定提撥制之保證給付成本與所得替代率之影響。文中所論及之投資策略包含買入持有、固定比例混合、生命週期配置、固定比率投資組合保險與時間不變性投資組合保護等投資策略，並配合不同之投資權重、風險乘數與保障比率設定等，以蒙地卡羅模擬法進行股價、債券價格與利率模擬，以推算保證給付之成本與所得替代率。股價之模型本文設定為符合幾何布朗寧運動模式，而於債券報酬與利率走勢模擬則主要採用CIR模型以加以模擬，並輔以幾何布朗寧法模擬債券指數走勢，著以對照。依據模擬之結果，建議政府與保險公司以發行時間不變性投資組合保護或生命週期配置商品為首選，以減輕保證給付成本。

The paper focuses on evaluating interest rate guarantee cost and income replacement ratio for a defined contribution (DC) pension within different investment strategies. We investigated the guarantee cost with different investing strategies, including Buy and hold (BH) Constant Mixture (CM), Deterministic Lifestyle (DL), Constant Portion Portfolio Insurance (CPPI) and Time Invariant Portfolio Protection (TIPP) strategies. We used the Monte Carlo simulation to evaluate stock prices, bond prices and interest rates. We also assumed that the stochastic process can be applied to our model where we use Geometric Brownian Motion to execute the stock and bond value simulations. We also apply the CIR model to simulate bond prices and interest rates as another bond price simulation method for comparison purposes. Additionally, in this paper, we also enlarged the parameters on different pre-set weightings, risk multiples and floor rates to understand the latent impacts on guarantee cost and income replacement ratio in the sensitive analysis section. According to simulation results, we conclude by suggesting that government and insurance companies to design products with TIPP and DL traits rather than CIPP trait to lower the guarantee cost.