由於各國勞工在退休後所面臨的問題不盡相同，而衍生出了不同的退休金制度，像是美國及世界銀行所實行的三層保障制度、瑞士年金制度、新加坡公基金制、智利強制性個人帳戶制度…等，雖然各國所採行的制度不同，但全世界存在著一種趨勢，逐漸從確定給付制轉為確定提撥制。對確定提撥制而言，退休後可領取多少退休金，得視基金投資績效而定，相對於確定給付制，沒有不足額提撥的問題，而雇主也不負擔投資風險。

在確定提撥制度下，為了確保所提撥金額的實質本金，不致於被通貨膨脹所侵蝕，可藉由投保的動作將風險移轉，同時必須支付一筆相當於實質本金保證價值的保費。本文結合條件請求權評價方法與提早退出的考量，提出個人退休金帳戶實質本金保證價值的理論模型，以台灣勞動市場為例，估計在不同進入年齡、死亡頻率和違約頻率下之保證價值。

由於退休金帳戶不是一次提足，而是定期依薪資比率提撥，像這種會與歷史薪資相關之路徑相依特性，為了提升效率又不失其準確性，本文利用蒙地卡羅模擬，針對約當證券複製它的現金流量，進而估計證券的價值，可有效評估個人退休金帳戶實質本金保證價值。

There has been a global shift in pension schemes from defined benefit (DB) to defined contribution (DC) plans over the past two decades.  A notable distinction between the two schemes is that employers must bear the investment risk in a DB plan, while employees take charge of their own investment decisions and therefore bear the investment risk in a DC plan.  
This article develops a contingent claims in insurance valuation model to price real principal guarantees on individual pension accounts (IPAs).  The stochastic salary, return on assets connected to an IPA, and inflation are incorporated.  The up-front guarantee values are numerically estimated for the new Taiwan labor IPAs based on some specified scenarios.

目錄
目錄…………………………………………………………………….I
表目錄………………………………………………………………….II

第一章	緒論  …………………………………………………………1

第二章	文獻回顧………………………………………………………5

第三章	實質本金保證之理論價值 …………………………………13
3-1契約的陳述 …………………………………………………13
3-2個人退休金帳戶保證之理論價值 …………………………14
3-3隨機利率的訂價……………………………………………..18

第四章 數值分析 ……………………………………………………20
4-1差分方程……………………………………………………..20
4-2終結頻率 ……………………………………………………22
4-3情境假設 ……………………………………………………22

第五章 結果與討論 …………………………………………………26

第六章 結論與建議 …………………………………………………38

參考文獻  ……………………………………………………………39






表目錄

表4-1：預期個人死亡頻率(EIID)…………………………………...24
表4-2：模擬分析之情境假設 ………………………………………25

表5-1：保證價值：在通貨膨脹趨勢向上時得到的結果 …………30
表5-2：保證價值：在通貨膨脹趨勢持平時得到的結果 …………31
表5-3：保證價值：在通貨膨脹趨勢向下時得到的結果………..…32
表5-4：保證價值變動百分比：物價水準由持平轉為向上 ………33
表5-5：保證價值變動百分比：物價水準由持平轉為向下 ………34
表5-6：保證價值變動百分比：死亡率由高轉低 …………………35
表5-7：保證價值變動百分比：違約率由高轉低 …………………36
表5-8：保證價值變動百分比：各種情境與情境1比較的結果……………………………………………………………37

參考文獻
一、中文部分
陳文賢, 1998, 我國勞工退休金制度之現況分析與探討, 台灣大學財務金融學系研究所碩士論文 
陳炤良, 2000a, 退休基金保證成本之估計--針對薪資相關、雇主提撥之確定給付退休金計劃, 證券市場發展 12:3=47, 頁141-162.
陳炤良, et al, 2000b, 正常提撥成本之估計--針對薪資相關、雇主提撥之確定給付退休金計劃, 管理學報 17:1, 頁101-117.
二、英文部分
Black, F., and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, The Journal of Political Economy 81, 637-654.
Brennan, Michael J., and Yihong Xia, 2002, Dynamic Asset Allocation Under Inflation, The Journal of Finance 57, 1201-1238.
Bulow, Harry T., 1982, Impressions After an Improvisation, Perspectives of New Music 20, 651.
Chen, C. L., 2006, The Portable Guarantee to Exchange Back an Old Defined Benefit for a New Defined Contribution (DC) Pension Plan, Applied Economics 38, 699-706.
Constantinides, George M., 1978, Market Risk Adjustment in Project Valuation, The Journal of Finance 33, 603-616.
Cox, John C., Jonathan E. Ingersoll Jr., and Stephen A. Ross, 1985a, An Intertemporal General Equilibrium Model of Asset Prices, Econometrica 53, 363-384.
---. 1985b, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385-407.
Cummins, J. D., 1988, Risk-Based Premiums for Insurance Guaranty Funds, The Journal of Finance 43, 823-839.
Feldstein, M., and A. Samwick, 2001, Potential Paths of Social Security Reform, NBER Working Paper 
Gold, J., 2003, Risk Transfer in Public Pension Plans, Chapter 6 in The Pension Challenge, eds. O. S. Mitchell and K. Smetters, Oxford University Press, New York
Harrison, J. M., and W. Sharpe, 1982, Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans, NBER 
Hsieh, Su-Jane, Andrew H. Chen, and Kenneth R. Ferris, 1994, The Valuation of PBGC Insurance Premiums using an Option Pricing Model, The Journal of Financial and Quantitative Analysis 29, 89-99.
Hull, J., 2003. Options, Futures, and Other Derivatives, Third Edition( Englewood Cliffs, NJ; Prentice-Hall)
Marcus, A., 1987, Chapter 3 in Issues in Pension Economics, in J. Shoven Z.Bodie and D.Wise ed.: Corporate Pension Policy and the Value of PBGC Insurance.(NBER, University of Chicago Press) .
Maurer, R., and C. Schla, 2003, Money-Back Guarantees in Individual Pension Accounts: Evidence from the German pension Reform, Chapter 9 in The Pension
Challenge, eds. O. S. Mitchell and K. Smetters, Oxford University Press, New York.
Merton, R. C., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory, Journal of Banking and Finance 1, 3—11.
Pennacchi, George G., and Christopher M. Lewis, 1994, The Value of Pension Benefit Guaranty Corporation Insurance, Journal of Money, Credit and Banking 26, 735-753.
Pennacchi, George G., 1999, The Value of Guarantees on Pension Fund Returns, The Journal of risk and insurance 66, 219.
Rendleman Jr, R. J., and B. J. Bartter, 1980, The Pricing of Options on Debt Securities, The Journal of Financial and Quantitative Analysis 15, 11-24.
Sherris, Michael, 1995, The Valuation of Option Features in Retirement Benefits, The Journal of risk and insurance 62, 509-534.
Shimko, David C., 1989, The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous Time, The Journal of Finance 44, 1373-1383.
---. 1992a, The Valuation of Multiple Claim Insurance Contracts, The Journal of Financial and Quantitative Analysis 27, 229-246.
---. 1992b, Finance in Continuous Time (Miami:Kolb)
Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics 5, 177-188.
Zurita, S., 1994, Minimum Pension Insurance in the Chilean Pension System, Revista de Análisis Económico 9, 105-126.