Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

Annual minimum rate of return guarantees are analyzed together with rules for distribution of positive excess return, i.e. investment returns in excess of the guaranteed minimum return. Together with the level of the annual minimum rate of return guarantee both the customer's and the insurer's fractions of the positive excess return are determined so that the market value of the insurer's capital inflow (determined by the fraction of the positive excess return) equals the market value of the insurer's capital outflow (determined by the minimum rate of return guarantee) at the inception of the contract. The analysis is undertaken both with and without a surplus distribution mechanism. The surplus distribution mechanism works through a bonus account that serves as a buffer in the following sense: in (‘bad’) years when the investment returns are lower than the minimum rate of return guarantee, funds are transferred from the bonus account to the customer's account. In (‘good’) years when the investment returns are above the minimum rate of return guarantee, a part of the positive excess return is credited to the bonus account. In addition to characterizations of fair combinations of the level of the annual minimum rate of return guarantee and the sharing rules of the positive excess return, our analysis indicates that the presence of a surplus distribution mechanism allows the insurer to offer a much wider menu of contracts to the customer than without a surplus distribution mechanism.     

我国养老金不平等对家庭代际经济交换的影响

我国养老金制度存在代际财富转移效应,养老金不平等会影响家庭代际经济交换。本文利用CLHLS 2014年数据,实证检验了我国养老金制度对家庭代际经济交换的影响效应。估计结果显示,相比无养老金的老人,有养老金的"农民(含居民)"爷爷(祖父辈老人)每年给子孙的净转移额并无显著差异,但"职工"爷爷、"干部"爷爷的净转移额分别每年显著多出2241元、3670元。进一步使用联立方程模型估计发现,代际经济交换中还存在显著的中介效应。考虑中介效应之后,退休职工、退休干部的净转移额分别多出2636元/年、4445元/年。实证结果表明,我国养老金不平等会从抚养、供养两个方向影响子孙代不同群体之间的收入差距,进而影响整个收入分配格局。建议要尽早实现我国基本养老金制度的全覆盖,尽快解决制度"碎片化""双轨制"的问题,针对不同群体建立更加科学完善的养老金待遇调整机制。     

担保型商品房买卖合同纠纷的裁判困境及其出路

为担保借款合同,当事人同步签署商品房买卖合同,约定借款人不能归还借款本金及利息时,应履行商品房买卖合同。此类具有担保功能的商品房买卖合同,在性质上属于债务清偿协议。法释\[2015\]18号第24条虽要求当事人以民间借贷提起诉讼,但未否定商品房买卖合同的效力。在确认应还本金及利息及借款人没有如期清偿的前提下,出借人请求移转房屋所有权的,应予支持。     

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

The authors offer a new perspective to the field of guaranteed minimum death benefit contracts, especially for simple return premium and rising floor guarantees. A particular feature of these contracts is a guaranteed capital upon the insured's death. A complete methodology based on the generalized Fourier transform is proposed to investigate the impacts of jumps and stochastic interest rates. This paper thus extends Milevsky and Posner (2001). If jumps alone are considered, similar results are obtained, but, when stochastic interest rates are introduced, the fair costs of the guarantee feature are found to be substantially higher in this more general economy.     

社会养老保险福利效应研究述评

提高国民福利是政府建立社会养老保险的最终目标。国外研究主要运用一般均衡方法构建代际交叠模型,从养老保险收入分配功能及其对经济增长(储蓄率和资本积累)的影响两个角度对不同养老保险模式的福利效应进行综合研究,研究成果十分丰富。然而,国内对如何在现有约束条件下实现国民福利最大化的探讨不够系统和深入。发展型福利思想为未来养老保险福利效应研究及政策改革提供了新的视角。     

The Effects of Banking Mergers on Loan Contracts

This paper studies the effects of banking mergers on individual business borrowers. Using information on individual loan contracts between banks and companies, I analyze the effect of banking consolidation on banks' credit policies. I find that in-market mergers benefit borrowers if these mergers involve the acquisition of banks with small market shares. Interest rates charged by the consolidated banks decrease, but as the local market share of the acquired bank increases, the efficiency effect is offset by market power. Mergers have different distributional effects across borrowers. When banks become larger, they reduce the supply of loans to small borrowers.     

The Long-run Effects of the Italian Pension Reforms

The paper analysesthe reforms of the Italian mandatory pension scheme for employeeslegislated in the 1990s. To assess the effects of the reforms,a microsimulation model calibrated on cross-section data is developed.The model is aimed at estimating the average income of a memberof a cohort, as well as the average per capita income of allindividuals alive in a given year. The long-run effects of thereform are analysed, comparing the characteristics of alternativefinancing schemes. A substantial improvement of the equity aswell as the long-run sustainability of the Italian public pensionschemes emerges. However, the dreary demographic scenario callsfor further tightening of eligibility rules sometime in the nextdecades if long-run sustainability of public debt is to be achieved.On the basis of sensitivity analysis, some changes aimed at hedgingthe system against unexpected shocks are suggested.     

放大直补资金担保贷款惠农政策效应

本文以中国农业银行吉林省分行发放财政直补资金担保贷款为例,全面分析了财补资金担保贷款所产生的巨大惠农效应,深入探讨金融支持＂三农＂经济发展的新模式,进一步提出推动财补资金担保贷款发展的政策建议。     

The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts

Numerous empirical studies, including Abraham and Hendershott (1996) , Muellbauer and Murphy (1997) , Leung (2004) , and Oikarinen (2009) , have identified a significant relationship between housing prices and macroeconomic factors. Using a linear regression on the comovement of macroeconomic factors and housing prices, this article employs an option‐pricing framework to price and hedge the fair premia of mortgage insurance (MI). Our model provides improved performance in terms of MI premium pricing, especially during periods that are characterized by high housing prices. Ignoring the impacts of macroeconomic factors on housing prices will lead to an underestimation of MI premia.     

The Incentive Effects of Increasing Per-Claim Deductible Contracts in Automobile Insurance

A new rating system of automobile insurance for vehicle damage in Taiwan was launched in 1996, introducing a deductible that increases with the number of claims. In this article, we provide a theoretical rationale for the existence of an increasing per‐claim deductible system and show that the new system is most likely an optimal choice for those insured who tend to have lower claims probability when incentives are present. Using a unique dynamic data set, we are able to conduct a natural experiment to examine the incentive effects (both positive and negative) by looking at the change in claim tendency before and after switching between two deductible plans: an increasing per‐claim deductible and a zero deductible. Our results provide direct evidence of the effects of deductible structures on claim behavior.     

城乡养老保险关系转移接续问题研究

随着新农保试点的扩大和城镇企业职工基本养老保险制度的完善,城乡养老保险关系转移接续问题,尤其是解决农民工交替参加城乡养老后的权益保护问题,日益成为完善城乡养老保险制度的重要问题。本研究通过对新农保和城镇养老制度体系分析,以及城乡养老关系转移接续现状研究,提出了采取＂折算年限＂、＂补差＂或＂分段计算＂方法解决我国城乡养老保险关系转移接续的解决思路和具体方案,并就具体实施问题提出政策建议。     

基于国际经验的养老保险隐性债务研究

养老保险制度通常可以看做一种政府对民众权益的承诺,该制度的转变必然会带来相关人员保障权益的改变甚至减损.因此,养老保险制度在转变过程中能够稳妥处理其隐性债务,是推动制度变革的前提条件.本文主要选取智利、波兰和阿根廷作为典型样本国家,考察它们养老保险制度隐性债务的处理方式,并提出了具有一般意义的养老金转制成本通常处理方法,以期为我国在处理隐性债务提供有益借鉴.     

Managerial Self-Interest, Pension Financial Slack and Corporate Pension Funding

This paper examines the impact of managerial self-interest on corporate pension funding decisions. It is postulated that managers with no ownership stake in the firm will have incentives to maintain financial slack in the form of excess pension funding. Pension funding slack may be viewed as a managerial perquisite that decreases the probability of necessary future debt financing. Such a strategy may increase the value of undiversified human capital to the detriment of maximizing shareholder wealth. As managerial ownership increases, the incentives to consume such a perquisite will decrease since the interests of managers and shareholders become more aligned. The results presented in this study strongly support this proposition.     

以养老信托构建养老金融服务新生态

近年来,随着老年人口数量不断增加,养老保障体系发展不平衡、不充分的现状已逐渐成为对未来经济社会可持续发展产生消极影响的潜在因素,人民群众对于养老金融的需求更是与日俱增.如何妥善解决养老保障带来的社会问题事关国家发展全局和百姓生活福祉.     

Pension Wealth Uncertainty

Using a representative sample of Italian investors, we measure the uncertainty of social security benefits by eliciting for each individual the subjective distribution of the replacement rate as a summary indicator of pension uncertainty. We find that pension uncertainty varies across individuals in a way that is consistent with what one would expect a priori, given different information sets and pension schemes. In particular, individuals who are a long way from retirement, and thus face more career uncertainty, report more subjective pension uncertainty. Since expectations reveal information about people's understanding of pension reforms, our findings suggest that they should also be an important determinant of how people respond to reforms.     

从墨尔本美世全球养老金指数看我国养老保险制度

墨尔本美世全球养老金指数是首次公布的对世界养老保险制度进行比较、评价的报告,本文通过对该指数的分析和研究,介绍了美世全球养老金指数的评价指标体系,分析了我国目前面临的人口老龄化状况,通过对比研究揭示了我国养老保险制度存在的漏洞和缺陷,最后提出了保障我国养老保险制度稳定、可持续健康发展的政策建议。     

当前养老方式与未来养老意愿的关系研究

本文基于对湖北省的武汉市、宜昌市、荆门市、枝江市和建始县花屏镇、黄梅县孔垄镇已婚者的调查问卷与个案访谈,实证了当前中国社会实际的老年奉养方式,以及一般人基于不同立场所表达的对于老年奉养方式的偏好。研究结果显示,当前父母与已婚子女同住依旧占绝大多数,由子女提供生活费来源也是较为普及的经济奉养方式;站在不同立场考虑年老奉养问题时,得到不同的倾向性;目前的家庭结构与父母经济奉养的方式对个人未来的奉养态度也具有一定的影响作用。     

降低养老保险政策缴费率对基金可持续性影响的研究

人口老龄化程度的加深对我国养老保险事业发展造成了巨大挑战.在此背景下,本文通过构建精算模型,模拟了不同政策组合下,降低养老保险政策缴费率对基金可持续性的影响,得到如下结论:(1)当不实行政策干预时,基金在2027年首次出现累计赤字,此后赤字规模逐年扩大;(2)在短期内(2021-2025),养老保险政策缴费率下调3个百分点时,能够使得基金可持续性提高,而在中期(2021-2050),反而会增大基金支付压力;(3)当实现征收体制改革且缴费率下调3个百分点时,基金累计赤字时点向后推迟了8年,基金可持续性得到一定改善;在此基础上进一步实行延迟退休年龄政策之后,基金在中期内并未出现累计赤字,且累计结余大幅度提升;而当政府对基金进行财政补贴后,基金运行状况得到显著改善.     

12个合同的故事

世行贷款高速公路项目道路养护设备采购12个合同同时招标的国际招标文件于2000年3月7日获得世行的不反对意见,2000年4月7日在<中国日报>上刊登了招标广告.到2000年6月9日投标截止时,12个合同共收到60份投标书,最少的合同只收到2份投标书,最多的一个合同收到10份投标书.评标报告于2000年11月6日递交世行审查.本次招标12个合同的投标情况和推荐的中标人的报价在本合同的排序如下表:     

债务抵押契约发展分析

本文分析了资产支持证券的一个品种——债务抵押契约的特点和结构，结合国家开发银行发行的“2005开元一期”债务抵押债券进行了分析，并提出了在发展债务抵押契约等产品时降低利率风险的建议。