中国养老基金动态资产负债管理的优化模型与分析

200588:100026788(2005)08200502051,2(11,050016;21,100080):,,.:;;:F22413;C93111:ATheOptimizationModelandAnalysisonDynamicAssetPLiabilityManagementforChinesePensionFundJIXiao2dong1,WANGShou2yang2(11CollegeofMathematicsandInformationScience,HebeiNormalUniversity,Shijiazhuang050016,China;21AcademyofMathematicsandSystemsScience,ChineseAcademyofSciences,Beijing100080,China)Abstract:TheassetPliabilitymanagementofChinesepensionfundisaddressedinthispaper.Basedontheanalysisoftheimpactsofinflationrate,wagerate,discountrate,andcontributionrateontheassetandliability,somepolicysuggestionsareprovidedtosolvetheembarrassmentofsocialsecuritysystemandtobroadenthefinancingchannels.Keywords:portfolioselection;assetPliabilitymanagement;pensionfund:2004206209:(70221001):(1972-),,,,.1,,,.,.2015,15%;2050,80.,.,3,,.2003474,2005,1000..,.,,,,.2T,A0N1.0,T-1.:.,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.:At:t;Yt:t;Bt:t;Lt:t;Ft:t,FtLtt();Zt:t();xft:t;xit:ti;it:ti;it:ti;rit:ti;rft:t;dt:t;xlit:ti;xuit:ti;Pit:ti;Qit:ti;ylt:t();yut:t();yllt:tt-1;yuut:tt-1;i=1,2,,N;t=0,1,,T-1.A0=Ni=1(1+i0)Xi0+xf0+2B0,xli0A0Xi0xui0A0,2B0.iXit=Xi,t-1ri,t-1+Pit-Qit,i=1,2,,N;t=1,2,,T-1xft=xf,t-1rf,t-1-Ni=1(1+it)Pit+Ni=1(1-it)Qit+Yt-3Bt+2Bt-1+Zt,t=1,2,,T-1.,(),().,(Under2funding),,.t:At=Ni=1Xi,t-1ri,t-1+xf,t-1rf,t-1+Yt-3Bt+2Bt-1+Zt,AtFtLt,t=1,2,,T.,,(),.158©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.xlitAtXitxuitAt,i=1,2,,N;t=0,1,,T-1.,,.,,:yltYtWtyut,yutYtWt-Yt-1Wt-1yuut,t=1,2,,T-1.,20133%,yw,Yt=ywWt,t=1,2,,T-1.AT=Ni=1Xi,T-1ri,T-1+xf,T-1rf,T-1+YT-BT+2BT-1,ATFTLT,t=1,2,,T.,,,,(Bankruptcy).,,.:minTt=1tE(Yt+Zt)t-1k=0dk..:(a)t(t=1,2,,T-1).t,t-1.,,,.(b),80%.,,.,,.,:80%,20%.(c):50%,10%,40%,10%.+3%.3.:,..,,.,,,110057,01001,..2520058©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.1X,,.,80%.,,.1()(%)t=1t=2t=3t=1t=2t=3(2.8,3.0,3.5)0.20640.22550.20952.15772.23132.3184(2.8,3.3,3.8)0.20640.23360.21742.15772.23772.3316(2.8,3.5,4.0)0.20640.23900.22922.15772.24192.34062,,.:1)(20133%),;2)(20%),..2()(%)t=1t=2t=3t=1t=2t=3(13.0,13.5,14.0)0.21130.23000.22142.15772.23132.3184(13.5,14.0,14.5)0.20890.22770.21192.15772.23132.3184(14.0,14.5,15.0)0.20640.22550.20952.15772.23132.31843,,.,,.,.3()2.5%3.0%3.5%4.0%4.5%5.0%0.19430.19340.19240.19150.19060.18970.21380.21170.20970.20770.20570.20370.19960.19410.19180.18990.18950.18484()16%17%18%19%20%20.33%0.35350.31090.26960.24320.20260.18710.37320.33100.29030.26560.22550.20980.36800.32560.28860.25700.21350.19964,,20%.20133%16%(27%),358X:140.:=(15,5,1);:(218%,310%,315%);:(14%,1415%,15%);:(215%,215%,215%);:(20%,20%,20%).,.©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.89%78%84%,,,.,,.4,,,.:1),,.,,.,90%,10%,.2).,,.,,,,.3),,.,,.,,.,,.,.,.,,.,.:[1]DertCL.Assetliabilitymanagementforpensionfunds-Amultistagechanceconstrainedprogrammingapproach[D].ErasmusUniversityRotterdam,Netherlands,1995.[2]MulveyJM,GouldG,MorganC.AnassetandliabilitymanagementsystemforTowersPerrin2Tillinghast[J].Interfaces,2000,30:96-114.[3],.,[M].:,2001.SongXiaowu,HanDawei.ToConsummatetheSocialSecuritySystemandEnsureHappinessafterRetirement[M].Beijing:TheEnterpriseManagementPublishingHouse,2001.[4]ZiembaWT,MulveyJM.WorldwideAssetandLiabilityModelling},Cambridge:CambridgeUniversityPress,1998.[5].[M].:,2001.ZouGenkuan.TheSocialSecuritySystemTheExperienceandReformsoftheEuropeanCountries[M].Shanghai:ShanghaiUniversityofFinanceandEconomicsPress,2001.[6].[M].:,2002.ZhuQing.TheEconomicAnalysisandOperationalAnalysisonthePensionSystem[M].Beijing:ChinaReminUniversityPress,2002.4520058©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.