本文關(guān)鍵詞： 養(yǎng)老資產(chǎn) 世代交疊模型 資產(chǎn)配置 老齡化 延遲退休　出處：《天津財(cái)經(jīng)大學(xué)》2016年博士論文　論文類(lèi)型：學(xué)位論文

【摘要】：養(yǎng)老資產(chǎn)合理配置是社會(huì)經(jīng)濟(jì)發(fā)展過(guò)程中需要解決的核心問(wèn)題之一。按照國(guó)際通行標(biāo)準(zhǔn),我國(guó)在2000年已經(jīng)進(jìn)入老齡化,并呈現(xiàn)老齡化加速和"未富先老"的特征。當(dāng)前我國(guó)經(jīng)濟(jì)由高度增長(zhǎng)轉(zhuǎn)為中高速增長(zhǎng)、經(jīng)濟(jì)結(jié)構(gòu)逐步優(yōu)化、經(jīng)濟(jì)增長(zhǎng)由要素驅(qū)動(dòng)轉(zhuǎn)為創(chuàng)新驅(qū)動(dòng),呈現(xiàn)經(jīng)濟(jì)發(fā)展新常態(tài)。隨著人口規(guī)模和結(jié)構(gòu)的顯著變動(dòng),公共養(yǎng)老支出壓力日趨增大。個(gè)人為了獲得更高的退休生活品質(zhì),需要在政府提供基本養(yǎng)老保險(xiǎn)之外發(fā)展個(gè)人養(yǎng)老金融,通過(guò)個(gè)人養(yǎng)老資產(chǎn)的合理配置提高養(yǎng)老資產(chǎn)運(yùn)用效率。養(yǎng)老資產(chǎn)包括權(quán)益類(lèi)、金融類(lèi)、物質(zhì)類(lèi)和人力資源類(lèi)四種資產(chǎn)。由于物質(zhì)類(lèi)和人力資源類(lèi)資產(chǎn)流動(dòng)性較差,難以進(jìn)行有效的資產(chǎn)配置。無(wú)論從宏觀層面還是微觀層面分析養(yǎng)老資產(chǎn)構(gòu)成,權(quán)益類(lèi)和金融類(lèi)養(yǎng)老資產(chǎn)都占據(jù)主導(dǎo)地位。現(xiàn)有養(yǎng)老資產(chǎn)結(jié)構(gòu)存在統(tǒng)籌層次低、替代率低和養(yǎng)老金投資收益率低的特點(diǎn)。引入市場(chǎng)機(jī)制解決養(yǎng)老資產(chǎn)短缺,鼓勵(lì)民眾自我積累、自我養(yǎng)老是緩解養(yǎng)老壓力的途徑。本文核心內(nèi)容包括三部分,首先從理論層面分析中國(guó)居民個(gè)人養(yǎng)老資產(chǎn)配置的影響因素;其次結(jié)合上述影響因素和生命表相關(guān)信息構(gòu)建精算模型,測(cè)度個(gè)人養(yǎng)老資產(chǎn)配置的適度規(guī)模;最后分析個(gè)人養(yǎng)老資產(chǎn)優(yōu)化配置方案。具體內(nèi)容如下:個(gè)人養(yǎng)老資產(chǎn)配置的影響因素。本文借鑒動(dòng)態(tài)隨機(jī)均衡中的世代交疊模型,構(gòu)建個(gè)人養(yǎng)老資產(chǎn)的經(jīng)濟(jì)學(xué)分析框架,包括基本模型和擴(kuò)展模型。在封閉經(jīng)濟(jì)中,只考慮個(gè)人生命的成年期和老年期。人們追求兩階段消費(fèi)效用最大化,個(gè)人制定消費(fèi)決策和儲(chǔ)蓄決策既要考慮當(dāng)期工資收入還要考慮下期工資收入,其中儲(chǔ)蓄決策直接影響?zhàn)B老收入。擴(kuò)展模型結(jié)合新的經(jīng)濟(jì)發(fā)展特點(diǎn),考慮延遲退休、技術(shù)進(jìn)步等因素對(duì)個(gè)人養(yǎng)老資產(chǎn)的影響。結(jié)果表明動(dòng)態(tài)均衡條件下,社會(huì)養(yǎng)老保險(xiǎn)費(fèi)率、人力資本、金融市場(chǎng)利差等因素會(huì)對(duì)人均資本和個(gè)人養(yǎng)老資產(chǎn)造成影響。政策情景模擬顯示,緩解養(yǎng)老壓力需要結(jié)合延遲退休、放松生育政策、調(diào)整個(gè)人繳費(fèi)率和提高資金運(yùn)用效率多方面著手。個(gè)人養(yǎng)老資產(chǎn)配置適度規(guī)模測(cè)算。個(gè)人需要儲(chǔ)備多少養(yǎng)老資產(chǎn)取決于養(yǎng)老方式及通脹等不確定因素,并沒(méi)有嚴(yán)格意義上的準(zhǔn)確數(shù)值。本文基于Lee-Carter模型對(duì)我國(guó)1997-2013年各年齡特別是超高齡的死亡率進(jìn)行建模,預(yù)測(cè)2014-2030年的各年齡死亡率,形成2010-2030年動(dòng)態(tài)生命表。構(gòu)建社會(huì)性養(yǎng)老金精算系統(tǒng),結(jié)合養(yǎng)老收入影響因素實(shí)證結(jié)果和動(dòng)態(tài)生命表構(gòu)建的主要結(jié)論對(duì)精算系統(tǒng)參數(shù)進(jìn)行設(shè)定,測(cè)算個(gè)人養(yǎng)老資產(chǎn)的配置規(guī)模。測(cè)算結(jié)果表明除了國(guó)家基本養(yǎng)老保險(xiǎn)以外,在給定約束條件下,就業(yè)人口需要積累的養(yǎng)老資產(chǎn)規(guī)模大約是當(dāng)期社會(huì)平均工資的27-36倍,才能確保退休后維持與退休前相當(dāng)?shù)纳钏疁?zhǔn),該結(jié)果與匯豐銀行、天弘基金等金融機(jī)構(gòu)預(yù)測(cè)的數(shù)據(jù)非常接近。合理配置個(gè)人養(yǎng)老資產(chǎn)。本文基于生命周期資產(chǎn)配置理論研究思路,結(jié)合BMS-BDR模型對(duì)個(gè)人養(yǎng)老資產(chǎn)配置進(jìn)行離散化建模,在不同的經(jīng)濟(jì)背景和參數(shù)假設(shè)下,定量測(cè)算典型個(gè)人每年工作-休閑、消費(fèi)-儲(chǔ)蓄、風(fēng)險(xiǎn)-收益的最優(yōu)選擇,得到一個(gè)個(gè)人養(yǎng)老資產(chǎn)配置的經(jīng)驗(yàn)規(guī)律。由于生命周期模型注重與養(yǎng)老有關(guān)的人力資本、資產(chǎn)配置和工資收入,所以生命周期資產(chǎn)配置規(guī)律優(yōu)于"CS法則"和"80法則"。通過(guò)對(duì)中國(guó)居民個(gè)人養(yǎng)老資產(chǎn)配置的研究,本文主要結(jié)論包括:一是老齡化和預(yù)期壽命延長(zhǎng)是影響個(gè)人養(yǎng)老資產(chǎn)優(yōu)化配置的根本因素,政府應(yīng)當(dāng)制定合理的人口政策和延遲退休政策以緩解老齡化帶來(lái)的養(yǎng)老壓力;二是社會(huì)養(yǎng)老保險(xiǎn)體系對(duì)個(gè)人養(yǎng)老資產(chǎn)配置有一定的擠出效應(yīng),政府應(yīng)繼續(xù)推行養(yǎng)老保險(xiǎn)改革,在維持養(yǎng)老保險(xiǎn)市場(chǎng)穩(wěn)定前提下拓展個(gè)人養(yǎng)老資產(chǎn)配置渠道;三是個(gè)人養(yǎng)老資產(chǎn)配置與金融市場(chǎng)關(guān)系密切,政府應(yīng)需要合規(guī)有序發(fā)展金融市場(chǎng),鼓勵(lì)金融產(chǎn)品創(chuàng)新,提高物質(zhì)類(lèi)養(yǎng)老資產(chǎn)的流動(dòng)性;四是個(gè)人養(yǎng)老資產(chǎn)缺口較大,政府可以從增加個(gè)人養(yǎng)老資產(chǎn)供給和政府轉(zhuǎn)移支付來(lái)減少缺口;五是個(gè)人養(yǎng)老資產(chǎn)合理配置的關(guān)鍵在于長(zhǎng)期穩(wěn)定回報(bào)。本文研究創(chuàng)新主要體現(xiàn)在三方面:一是利用OLG分析個(gè)人養(yǎng)老資產(chǎn)配置影響因素的基礎(chǔ)模型,結(jié)合我國(guó)現(xiàn)階段經(jīng)濟(jì)發(fā)展特征,增加延遲退休、技術(shù)驅(qū)動(dòng)、金融市場(chǎng)轉(zhuǎn)化效率等條件構(gòu)建拓展模型,使研究結(jié)論更貼近經(jīng)濟(jì)發(fā)展實(shí)際情況;二是利用Lee-Carter模型和精算模型測(cè)算勞動(dòng)人口需要積累的個(gè)人養(yǎng)老資產(chǎn)規(guī)模大致相當(dāng)于當(dāng)年社會(huì)平均工資水平的27-36倍,才能較為充分地滿(mǎn)足養(yǎng)老需求。該結(jié)果從宏觀層面可以幫助合理評(píng)估個(gè)人養(yǎng)老資產(chǎn)缺口,從微觀層面也可以幫助個(gè)人更為理性地進(jìn)行養(yǎng)老決策。三是基于BMS-BDR生命周期模型構(gòu)建了離散化模型,定量測(cè)算了個(gè)人在不同年齡的養(yǎng)老資產(chǎn)配置結(jié)構(gòu)。在與CS經(jīng)驗(yàn)規(guī)律、80法則等常用配置規(guī)律進(jìn)行科學(xué)對(duì)比的基礎(chǔ)上,給出資產(chǎn)配置方案設(shè)計(jì):在政府提供政策支持和金融機(jī)構(gòu)產(chǎn)品創(chuàng)新基礎(chǔ)上,個(gè)人需要建立自我養(yǎng)老意識(shí),制定長(zhǎng)期規(guī)劃并做短期調(diào)整,結(jié)合個(gè)人年齡和財(cái)富狀況進(jìn)行風(fēng)險(xiǎn)投資、盡可能提高收入等。這些配置方案具備一定實(shí)踐價(jià)值。
[Abstract]:The rational allocation of pension assets is one of the key problems to be solved in the process of social economic development. In accordance with international standards, China has entered the aging in 2000, and showed the accelerated aging and not to the old "features. China's current economic growth to the growth in height by high speed, gradually optimize the economic structure economic growth, from factor driven to innovation driven, presents new normal economic development. With the significant changes in population size and structure, the pressure of public pension spending is increasing. In order to obtain a higher quality of life after retirement, to provide the basic old-age insurance in the development of personal financial government pension pension, improve the efficiency of assets by reasonable allocation individual pension assets. Pension assets, including equity, financial, material and human resources four kinds of assets. Because the material and human resource assets liquidity Poor, it is difficult to carry out effective asset allocation. Whether from the macro or micro level analysis of pension assets, equity and financial assets endowment to occupy the dominant position. The existing pension assets structure has low level of overall planning, the characteristics of pension replacement rate is low and the rate of return is low. To introduce the market mechanism to solve the shortage of pension assets, encourage people to self accumulation and self care is the way to alleviate the pressure of endowment. The core content of this paper includes three parts, the first analysis of the factors affecting the China residents personal pension asset allocation from the theoretical level; followed by the combination of the above factors and life table information construct actuarial model, moderate scale measure of personal pension asset allocation; finally, analysis of individual pension asset allocation plan. The specific contents are as follows: factors affecting individual pension asset allocation. This paper uses the dynamic stochastic equilibrium in the world The overlapping generation model, economic construction of personal pension assets analysis framework, including the basic model and the extended model. In the closed economy, only consider individual life in adulthood and old age. People pursue the maximization of the two stage consumption utility, personal consumption and savings decisions making decision should not only consider the wage income of the current period but also consider the wage income among them, the savings decisions directly affect pension income. The extended model combining the characteristics of the economic development of new, consider the delay retirement, the impact of technological progress and other factors on individual pension assets. The results show that the dynamic equilibrium conditions, the rate of social endowment insurance, human capital, financial market spreads and other factors will affect the capital per capita and personal pension assets. Simulation scenario shows that the pressure relief of pension according to delay retirement, to relax the policy, adjust the individual contribution rate and improve the utilization of capital. The rate of multiple aspects. Individual pension asset allocation measure appropriate scale. People need to reserve a number of pension assets depends on the pension and inflation uncertainty, and there is no accurate numerical strictly. The Lee-Carter model of China's 1997-2013 years of all ages especially super old mortality prediction models based on different age mortality rate was 2014-2030 in 2010-2030 years, the formation of dynamic life table. The construction of social pension actuarial system, combined with the empirical results and the influence factors of pension income dynamic life table construction of main conclusions of the actuarial system parameter setting, measurement of Individual Pension Asset Allocation scale. The calculated results show that in addition to the national basic pension insurance, under certain constraints. Employment need to accumulate pension assets is about 27-36 times the average wage in the current society, in order to ensure the dimension after retirement Hold quite and pre retirement living standards, the prediction results with HSBC, Celestica fund and other financial institutions are very close to the data. The rational allocation of personal pension assets. The life cycle asset allocation theory research based on the discrete model of Personal Pension Asset Allocation Based on BMS-BDR model, in the economic background and parameters under different assumptions quantitative calculation of typical individual annual work, leisure, consumption and savings, to choose the optimal risk return, get an empirical rule of personal pension asset allocation. Because of the attention and pension related human capital life cycle model, asset allocation and income, so better than the "life cycle asset allocation rule CS rule" and "80 law. Through the study of China residents personal pension asset allocation, the main conclusions of this paper include: first, the aging and life expectancy is the influence of personal pension investment The fundamental factors of production optimization, the government shall formulate reasonable population policies and delay retirement policy to alleviate the aging of the pension pressure; the two is the social endowment insurance system has a crowding out effect on individual pension asset allocation, the government should continue to implement pension reform, expanding personal pension asset allocation channels in the premise of maintaining stable pension the insurance market; three is the relationship between the individual pension asset allocation and financial market closely, the government should require compliance and orderly development of financial market, encourage financial product innovation, improve the material flow of pension assets; four is a personal pension asset gap is bigger, can increase the personal pension assets from the government supply and government transfer payment to reduce the gap the five is the key; rational allocation of personal pension assets in long-term stable returns. This research innovation is mainly reflected in three aspects: one is the use of OLG Analyzing the model of factors influence individual pension asset allocation, combined with the characteristics of current economic development in China, increasing delay retirement, technology driven, financial market conditions such as the conversion efficiency of constructing model, make the conclusion more close to the actual situation of economic development; two is the use of Lee-Carter model and estimates the actuarial model of workers in need of personal pension assets accumulation the year is roughly equivalent to the social average wage level of 27-36 times, can fully meet the pension needs. The results from the macro level can help a reasonable assessment of Personal Pension Asset gap, from the micro level can help individuals more rational for pension policy. The three is the BMS-BDR life cycle model is constructed based on the discrete model, quantitative estimates of the individuals in different age pension asset allocation structure. In the experience with CS law, the rule of 80 commonly used configuration rules Based on the comparison of scientific design, given asset allocation scheme: provide policy support and financial product innovation on the basis of government, individuals need to establish awareness of self pension, long-term planning and short-term adjustment, combined with the individual age and wealth of risk investment, as far as possible to increase the income. The allocation scheme has certain practical value.

【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F842.67;D669.6;F832.2
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本文編號(hào)：1442645