ADL利率的企业年金DC计划模型及预测  

Modeling and forecasting of enterprise pension DC plan with ADL interest rates

作　　者：王刚义[1] 吕勇杰[1] 

机构地区：[1]大连理工大学管理与经济学院,辽宁大连116024

出　　处：《系统工程学报》2013年第4期427-436,共10页Journal of Systems Engineering

基　　金：教育部规划基金资助项目(11YJA840020);辽宁省教育厅资助项目(2010030)

摘　　要：随着利率市场化改革的推进,如何准确预测固定收益类资产的实际利率,进而实现基金保值目标成为年金管理者面临的关键问题.本文基于年金管理目标,分析了缴费确定型计划的给付模型;通过引入自回归分布滞后利率模型,对近15年间的五年期存款基准利率进行了实证研究;利用利率-给付模型预测了年金计划的未来给付及替代率.计算结果表明:预测的实际利率能有效拟合市场真实利率;在名义利率可变的条件下。With the market-oriented reform of interest rates,it has become a critical issue for pension managements to forecast fixed-income assets in real interest rates in order to keep the fund value.Based on the management objective of pensions,this paper analyzed the payment model of DC plans,made an empirical study on the five-year deposit interest rates by introducing ADL during the last 15 years,and structured an interest rate-payment model to forecast the future benefits and replacement rates of pensions.The results show that the predicted reality interest rates can fit market real interest rates effectively.In the case of variable nominal interest rates,the accuracy of the expected rates of replacement has improved.

关 键 词：ADL利率 企业年金 DC计划 预测 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]