中国企业年金替代率水平研究——基于随机波动模型的分析

构建我国企业年金替代率现金流模型,把年金资产的投资收益率作为随机变量引入随机波动(Stochastic Volatility,SV)模型,以年金资产投资于股票和国债两类风险资产为例,对年金替代率进行模拟分析。研究表明:从供给角度讲,在当前条件下,制度能够实现的替代率水平远远低于制度的预设目标;在总缴费率较高,而其它因素又很难改变的情况下,提高年金替代率的关键是提高投资收益率水平。为此,要改善年金资产的投资环境,引入竞争机制,降低基金管理费率。

Research on Replacement Rate of China Enterprise Pension:Based on Stochastic Simulation Model

The statistic of replacement rate is analyzed by building stochastic cash flow model of enterprise pension and introducing Stochastic Volatility model to simulate the investment yield. The research indicates that the replacement rate level can be realized in the system is much lower than its target under the current condition and the key measure to raise replacement rate is to improve investment yield level. Therefore, it is necessary to improve the investment environment of annuity property, introduce comp...