基于CDaR模型的企业年金资产配置

基于CDaR模型,根据我国新颁布的《企业年金管理办法》建立有投资约束条件下的企业年金资产配置模型.最后利用Matlab软件模拟的收益率序列进行实证分析,并与风险度量方法——CVaR模型进行对比,结果表明,这一模型是最优的.     

城镇职工基本养老保险个人账户内部收益率测算与分析

本文依据《国务院关于完善企业职工基本养老保险制度的决定》,构建出城镇职工基本养老保险个人账户内部收益率精算模型,在对相关参数合理假设的基础上测算出城镇职工基本养老保险个人账户内部收益率,将其与银行存款利率、个人账户记账利率、企业年金和全国社会保障基金投资收益率进行对比。研究发现：现行城镇职工基本养老保险个人账户具有较高的内部收益率。建议科学核定对外公布的个人账户收益率;严格限制提前退休,优先延长女性退休年龄;建立基本养老金正常调整机制;采取提高计发月数、加强基金投资运营、推行年金化改革等多种方式,实现个人账户的精算平衡。     

中国沪深股市收益率相关性的实证分析

开放的资本市场,不同市场在资金流动、市场运作等方面联系的加强使得市场间的关联度增加。我国的上海和深圳交易所同处中国大陆,所面对的经济、政治和法律环境相同,监管环境、投资者结构、上市公司的质量、治理结构相同或相似。研究这两个股市间的相关性与互动性可以反映资金流向和市场效率。上证综合指数日收益率和深证成分指数日收益率均存在较大的波动,沪深两市日收益率序列均不服从正态分布,尖峰厚尾性显著,波动存在簇族性。可用GARCH模型和EGARCH模型来拟合收益率序列的波动性,通过模型得出沪市的有效性比较强,深市对沪市收益率的溢出效应不显著。     

深证综指收益率波动集群性的实证分析

本文以深圳股市为研究对象,选取深证综合指数2000.1.4—2008.6.17共2036个交易日的数据,对收益率的波动情况进行统计分析,结果表明收益率分布表现出非正态性并存在波动集群性的特征,随后利用自回归条件异方差(ARCH)类模型,对收益率序列的波动进行了拟合,结果表明,广义自回归条件异方差(GARCH)模型对收益率波动的集群性具有较好的拟合效果。     

我国股市收益率波动性分布特征若何?——基于GH分布的实证分析

金融收益率序列的分布往往表现出厚尾性和不对称性,这与传统的线性框架下的线性参数建模认为资产收益率等时间序列服从正态分布相违背。在回顾比较几种扰动项的常用分布基础上,首先对GH分布族的定义以及相关统计特征作系统介绍,随后运用波动率模型对上证综指和沪深300指数日收益率进行过滤,进而借助GH分布对扰动项分布做进一步的拟合,结果表明GH分布能准确地描述和呈现收益率序列波动状况的分布特征。     

我国股市收益率波动性分布特征若何?——基于GH分布的实证分析

金融收益率序列的分布往往表现出厚尾性和不对称性,这与传统的线性框架下的线性参数建模认为资产收益率等时间序列服从正态分布相违背.在回顾比较几种扰动项的常用分布基础上,首先对GH分布族的定义以及相关统计特征作系统介绍,随后运用波动率模型对上证综指和沪深300指数日收益率进行过滤,进而借助GH分布对扰动项分布做进一步的拟合,结果表明GH分布能准确地描述和呈现收益率序列波动状况的分布特征     

新华富时中国A25指数ETF期权多空比值与上证综指关系研究

本文选取新华富时中国A25指数ETF认沽期权、认购期权交易量比值和上证综指日收益率为研究对象,考察这两个时间序列的联动关系及两个市场的波动溢出关系,力图证明该ETF期权认购期权交易量与认沽期权交易量的比值能够在一定程度上预测中国上证综指的走势。向量自回归模型表明,多空比值与指数收益率之间存在长期均衡关系,且多空比值是收益率的格兰杰因。之后提取VECM中的误差修正项,带入双变量EC-EGARCH-M模型,结果表明,两市场存在时间序列波动聚集性、非对称性和波动溢出效应。最后,本文利用前述结果总结并建立指数投资策略。在样本时间范围内,该类投资策略能够获得比大盘更高的收益。     

新华富时中国A25指数ETF期权多空比值与上证综指关系研究

本文选取新华富时中国A25指数BTF认活期权、认购期权交易量比值和上证综指日收益率为研究对象,考察这两个时间序列的联动关系及两个市场的波动溢出关系,力图证明该ETF期权认购期权交易量与认沽期权交易量的比值能够在一定程度上预测中国上证综指的走势.向量自回归模型表明,多空比值与指数收益率之间存在长期均衡关系,且多空比值是收益率的格兰杰因.之后提取VECM中的误差修正项,带入双变量EC-EGARCH-M模型,结果表明,两市场存在时间序列波动聚集性、非对称性和波动溢出效应.最后,本文利用前述结果总结并建立指数投资策略.在样本时间范围内,该类投资策略能够获得比大盘更高的收益.     

GARCH模型在研究上证50指数基金收益率上的运用

指数基金投资越来越受到欢迎,我们以上证50指数为例,对其日收益率(从2003/12/31-2019/07/25)进行了研究,通过一系列文献查询和实证分析,得出其收益率残差序列存在ARCH效应,遂采用GARCH族模型,对其未来一定时期内的收益率进行了预测,最终得出指数投资在未来一定时期内收益率稳定且具有投资价值的结论,对指数投资具有一定的参考意义     

基于GARCH模型的上证综合指数收益率波动的实证研究

文章选取上证综合指数2012年1月4日至2012年12月31日的日收盘数据为研究对象,针对其收益率序列,运用GARCH模型对上证综合指数进行拟合和检验。分析结果表明,上证综合指数收益率序列具有明显的异方差性、波动性和持续性,同时上证综指有较高的风险溢价现象。     

An Anatomy of Trading Strategies: Evidence from China

Using a pooled cross-sectional time series approach, we evaluate profits of momentum strategies and identify the sources of profits in China's stock market. Momentum strategies generate significant and negative returns in the A-share market on investment horizons at one month and at and above nine months. In the B-share market, momentum strategies yield significant and negative returns at and above twelve months. Decomposition analysis finds that the negative returns are predominately attributed to the time series profitability of stock returns. Although momentum strategies generate significant and positive returns over the period after China opened its once foreign-restricted B-share market to domestic individual investors, the relative importance of the time series predictability and the cross-sectional variation does not change.     

Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans

In this article, a multivariate structural time series model with common stochastic trends is proposed to forecast longevity gains of a population with a short time series of observed mortality rates, using the information of a related population for which longer mortality time series exist. The state space model proposed here makes use of the seemingly unrelated time series equation and applies the concepts of related series and common trends to construct a proper model to predict the future mortality rates of a population with little available information. This common trends approach works by assuming the two populations’ mortality rates are affected by common factors. Further, we show how this model can be used by insurers and pension funds to forecast mortality rates of policyholders and beneficiaries. We apply the proposed model to Brazilian annuity plans where life expectancies and their temporal evolution are predicted using the forecast longevity gains. Finally, to demonstrate how the model can be used in actuarial practice, the best estimate of the liabilities and the capital based on underwriting risk are estimated by means of Monte Carlo simulation. The idiosyncratic risk effect in the process of calculating an amount of underwriting capital is also illustrated using that simulation.     

内生增长理论对政府公共支出与经济增长关系的解释——来自中国1952—2011年的经验证据

本文基于内生增长理论（Endogenous Growth Theory）分析政府公共支出与经济增长的关系。基于Barro（1990）提出的框架,但采用Arrowand Kutz（1970）提出的方法,将公共投资通过直接资本形成增加资本存量,形成内生经济增长,并采用Ramsey-Cass-Koopmans（1965）模型的基本假设,利用1952—2011年中国时间序列数据对影响经济增长的因素进行检验。结果显示：政府公共物质资本投入及政府人力资本投入对经济增长均具有正效应,但政府公共物质资本投入对经济增长的效应微弱,而政府人力资本投入对经济增长的效应较大。同时还验证了政府物质资本投入并不是经济增长的格兰杰原因（Granger Cause）,而政府人力资本投资是经济增长的格兰杰原因（Granger Cause）,且影响滞后并持久,教育投入对中国经济增长的影响是长期渗透的。     

Asset Allocation and the Liquidity Premium for Illiquid Annuities

Academics and practitioners alike have developed numerous techniques for benchmarking investment returns to properly adjust seemingly high numbers for excessive levels of risk. The same, however, cannot be said for liquidity, or the lack thereof. This article develops a model for analyzing the ex ante liquidity premium demanded by the holder of an illiquid annuity. The annuity is an insurance product that is akin to a pension savings account with both an accumulation and decumulation phase. We compute the yield (spread) needed to compensate for the utility welfare loss, which is induced by the inability to rebalance and maintain an optimal portfolio when holding an annuity. Our analysis goes beyond the current literature, by focusing on the interaction between time horizon (both deterministic and stochastic), risk aversion, and preexisting portfolio holdings. More specifically, we derive a negative relationship between a greater level of individual risk aversion and the demanded liquidity premium. We also confirm that, ceteris paribus, the required liquidity premium is an increasing function of the holding period restriction, the subjective return from the market, and is quite sensitive to the individual's endowed (preexisting) portfolio.     

我国股票型开放式基金赎回风险研究

本文根据我国资本市场的变化，创造性地将我国股票型基金的发展区分为两个不同阶段，通过建立平行数据模型对其赎回风险影响因素及其效果进行对比研究。实证研究发现：（1）投资者更偏好成立时间短的基金；（2）基金的“赎回异象”更容易发生在证券市场行情好的时候；（3）分红确实起到了阻止投资者赎回的目的。     

养老基金个人投资选择权的理论阐释与实践发展

国外养老基金个人投资选择权的理论阐释与实践发展表明,职工并不能作为"理性人"在养老基金投资运营中实现收益最大化,并进而揭示出养老基金个人投资选择权的两个主要发展趋势,即"管理机构选择权"模式中个人在投资机构问的转移率与该国人均收入水平负相关,以及"投资基金选择权"模式中个人参与率下降趋势明显.因此,如果我国企业年金设置...     

Long-Term Yield Rates for Actuarial Valuations

Consider the problem of valuing a life insurance or annuity on a person aged 20. The valuation formula requires that we know the prices of pure-discount bonds with maturities of up to 100 years. This article investigates the problem of estimating the yield rate for a pure-discount bond that matures in 100 years. It is shown how to estimate this yield rate with parametric and nonparametric models on the price of U.S. Treasury strips. Moreover, confidence intervals on these rates are constructed with bootstrap methods.     

我国投资连结保险选股择时能力的对比研究——基于T-M模型

近年来我国投连险产品的数量迅速增长,作为一种高风险高收益的保险产品,投保人参加此保险更多地是出于投资目的,因此科学地评价它们的投资绩效就变得越来越重要。以20个投连险账户为研究对象,借助资产组合绩效评价的T-M模型,分别从账户投资风格、牛熊市和不同寿险公司的角度对比研究了我国投连险的选股择时能力。实证结果表明,总体而言我国投连险的具有显著的选股能力,但是不具有择时能力。就投资风格上来看,激进型账户的选股能力表现最好,债券型账户的择时能力好于其他;从牛熊市的比较而言,我国投连险具有显著的选股能力,牛市表现要优于熊市;综合考虑选股能力和择时能力两个方面,平安人寿和太平人寿的投资表现好于其他寿险公司。     

Auswirkungen von Enhanced Annuities auf den Bestand eines Versicherers

The value for money of a standard annuity is the higher, the longer the life expectancy of an insured, and therefore it is only acceptable for persons with an above average life expectancy. The discrepancy is intensified by tax regulations that favor lifelong annuity payments opposed to a lump sum. This discrimination of impaired insureds could be prevented if so-called enhanced annuities were offered, i.e. products where the annuity paid is the larger, the lower the person’s life expectancy. The article presents a quantitative comparison of the risk profile of insurance companies offering standard annuity contracts compared to enhanced annuities and an analysis of the impact of adverse selection on a standard insurer. By definition of individual mortality rates a heterogeneous insurance portfolio is specified. Besides we model the individual underwriting of enhanced annuities. A Monte Carlo Simulation provides results to compare the profit/loss situation of a portfolio of traditional annuity products and a portfolio of enhanced annuities with individual underwriting of different quality and to assess the impact of selection effects.     

The Implied Longevity Yield: A Note on Developing an Index for Life Annuities

I develop an index for tracking the dynamic behavior of life (pension) annuity payouts over time, based on the concept of self‐annuitization. Our implied longevity yield (ILY) value is defined equal to the internal rate of return (IRR) over a fixed deferral period that an individual would have to earn on their investable wealth if they decided to self‐annuitize using a systematic withdrawal plan. A larger ILY number indicates a greater relative benefit from immediate annuitization. I use age 65—with a 10‐year period certain—compared against the same annuity at age 75 as the standard benchmark for the index, and calibrate to a comprehensive time series of weekly (Canadian) life annuity quotes from 2000 through 2004. I find that during this period the ILY varied from 5.45 percent to 6.90 percent for males and from 5.00 percent to 6.42 percent for females and was highly correlated with a duration‐weighted average yield of 10‐year and long‐term Government of Canada bonds. I believe our ILY metric can help promote and explain the benefits of acquiring lifetime payout annuities by translating the abstract‐sounding longevity insurance into more concrete and measurable financial rates of return.