基于风险模拟的企业年金替代率动态敏感性分析  

A Dynamic Sensitivity Analysis of Enterprise Annuity Replacement Ratio-Based on the Actuarial Simulator Model of Risk Simulator

作　　者：王伊琳[1] 鲜平[1] 朱衡[1] WANG Yilin, XIAN Ping, ZHU Heng(South Western University of Finance and Economics,Sichuan Chengdu 61007)

机构地区：[1]西南财经大学,四川成都610074

出　　处：《保险研究》2018年第3期106-116,共11页Insurance Studies

基　　金：2014年四川省社科规划项目;西南财经大学2017年度中央高校基本科研业务费年度培育项目"养老保险三支柱协同发展视角下商业养老保险供给创新研究"的部分研究成果

摘　　要：本文将通货膨胀考虑进企业年金替代率测算的精算模型中,利用风险模拟(1)Risk Simulator进行动态模拟,生成飓风图及动态敏感性分析。飓风图从静态的角度识别每个变量对模型结果的影响;动态敏感性分析则是确定多个变量在模型中同时被仿真时对结果的影响。模拟结果显示,退休年龄对企业年金替代率的敏感性最显著,其次是死亡年龄、投资收益率、缴费率与平均工资增长率,通货膨胀次之,参加工作年龄的敏感性最不显著。在深入剖析企业年金替代率影响因素的基础上,进一步提出未来提升企业年金替代率的研究重点与方向,为构建更加完善的社会保障体系提供新思路。The paper took inflation into the actuarial models for projecting enterprise annuity replacement ratio, used the Risk Simulator for dynamic simulation, and generated the tornado chart and the dynamic sensitivity analysis. The tornado chart identified each variable＇ s static impact on the model result, whereas the dynamic sensitivity a- nalysis was to determine the effect on the results when multiple variables were simulated in the model simultaneous- ly. The results showed that, among factors affecting the replacement ratio, the retirement age was the most significant factor, followed by the age at death, investment yield, contribution rate, average wage growth and inflation, with the years of service being the least significant factor. The paper intended to make an in - depth analysis of factors affecting the enterprise annuity replacement ratio, and on this basis, pointed out the future research focus and direction for increasing the enterprise annuity＇ s replacement ratio, providing new ideas for the construction of a better social security system.

关 键 词：企业年金替代率 通货膨胀 风险模拟 动态敏感性分析 

分 类 号：F840.6[经济管理—保险]