中国居民个人养老资产配置研究

发布时间：2018-01-19 04:27

  本文关键词： 养老资产 世代交叠模型 资产配置 老龄化 延迟退休　出处：《天津财经大学》2016年博士论文　论文类型：学位论文

【摘要】：养老资产合理配置是社会经济发展过程中需要解决的核心问题之一。按照国际通行标准,我国在2000年已经进入老龄化,并呈现老龄化加速和"未富先老"的特征。当前我国经济由高度增长转为中高速增长、经济结构逐步优化、经济增长由要素驱动转为创新驱动,呈现经济发展新常态。随着人口规模和结构的显著变动,公共养老支出压力日趋增大。个人为了获得更高的退休生活品质,需要在政府提供基本养老保险之外发展个人养老金融,通过个人养老资产的合理配置提高养老资产运用效率。养老资产包括权益类、金融类、物质类和人力资源类四种资产。由于物质类和人力资源类资产流动性较差,难以进行有效的资产配置。无论从宏观层面还是微观层面分析养老资产构成,权益类和金融类养老资产都占据主导地位。现有养老资产结构存在统筹层次低、替代率低和养老金投资收益率低的特点。引入市场机制解决养老资产短缺,鼓励民众自我积累、自我养老是缓解养老压力的途径。本文核心内容包括三部分,首先从理论层面分析中国居民个人养老资产配置的影响因素;其次结合上述影响因素和生命表相关信息构建精算模型,测度个人养老资产配置的适度规模;最后分析个人养老资产优化配置方案。具体内容如下:个人养老资产配置的影响因素。本文借鉴动态随机均衡中的世代交叠模型,构建个人养老资产的经济学分析框架,包括基本模型和扩展模型。在封闭经济中,只考虑个人生命的成年期和老年期。人们追求两阶段消费效用最大化,个人制定消费决策和储蓄决策既要考虑当期工资收入还要考虑下期工资收入,其中储蓄决策直接影响养老收入。扩展模型结合新的经济发展特点,考虑延迟退休、技术进步等因素对个人养老资产的影响。结果表明动态均衡条件下,社会养老保险费率、人力资本、金融市场利差等因素会对人均资本和个人养老资产造成影响。政策情景模拟显示,缓解养老压力需要结合延迟退休、放松生育政策、调整个人缴费率和提高资金运用效率多方面着手。个人养老资产配置适度规模测算。个人需要储备多少养老资产取决于养老方式及通胀等不确定因素,并没有严格意义上的准确数值。本文基于Lee-Carter模型对我国1997-2013年各年龄特别是超高龄的死亡率进行建模,预测2014-2030年的各年龄死亡率,形成2010-2030年动态生命表。构建社会性养老金精算系统,结合养老收入影响因素实证结果和动态生命表构建的主要结论对精算系统参数进行设定,测算个人养老资产的配置规模。测算结果表明除了国家基本养老保险以外,在给定约束条件下,就业人口需要积累的养老资产规模大约是当期社会平均工资的27-36倍,才能确保退休后维持与退休前相当的生活水准,该结果与汇丰银行、天弘基金等金融机构预测的数据非常接近。合理配置个人养老资产。本文基于生命周期资产配置理论研究思路,结合BMS-BDR模型对个人养老资产配置进行离散化建模,在不同的经济背景和参数假设下,定量测算典型个人每年工作-休闲、消费-储蓄、风险-收益的最优选择,得到一个个人养老资产配置的经验规律。由于生命周期模型注重与养老有关的人力资本、资产配置和工资收入,所以生命周期资产配置规律优于"CS法则"和"80法则"。通过对中国居民个人养老资产配置的研究,本文主要结论包括:一是老龄化和预期寿命延长是影响个人养老资产优化配置的根本因素,政府应当制定合理的人口政策和延迟退休政策以缓解老龄化带来的养老压力;二是社会养老保险体系对个人养老资产配置有一定的挤出效应,政府应继续推行养老保险改革,在维持养老保险市场稳定前提下拓展个人养老资产配置渠道;三是个人养老资产配置与金融市场关系密切,政府应需要合规有序发展金融市场,鼓励金融产品创新,提高物质类养老资产的流动性;四是个人养老资产缺口较大,政府可以从增加个人养老资产供给和政府转移支付来减少缺口;五是个人养老资产合理配置的关键在于长期稳定回报。本文研究创新主要体现在三方面:一是利用OLG分析个人养老资产配置影响因素的基础模型,结合我国现阶段经济发展特征,增加延迟退休、技术驱动、金融市场转化效率等条件构建拓展模型,使研究结论更贴近经济发展实际情况;二是利用Lee-Carter模型和精算模型测算劳动人口需要积累的个人养老资产规模大致相当于当年社会平均工资水平的27-36倍,才能较为充分地满足养老需求。该结果从宏观层面可以帮助合理评估个人养老资产缺口,从微观层面也可以帮助个人更为理性地进行养老决策。三是基于BMS-BDR生命周期模型构建了离散化模型,定量测算了个人在不同年龄的养老资产配置结构。在与CS经验规律、80法则等常用配置规律进行科学对比的基础上,给出资产配置方案设计:在政府提供政策支持和金融机构产品创新基础上,个人需要建立自我养老意识,制定长期规划并做短期调整,结合个人年龄和财富状况进行风险投资、尽可能提高收入等。这些配置方案具备一定实践价值。
[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.

【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F842.67;D669.6;F832.2
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本文编号：1442645