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均衡理论下DB型企业年金资产配置最优框架设计

ISSN号：1004-3306
期刊名称：《保险研究》
时间：0
分类：F840.32[经济管理—保险]
作者机构：[1]南京师范大学金陵女子学院,江苏南京210023, [2]南京师范大学计算机科学与技术学院,江苏南京210023
相关基金：国家社会科学基金资助项目（13BJY158）;江苏省教育规划办课题资助项目（B-a/2013/01/016）;江苏省教育科学“十二五”规划重点资助课题（B-a/2013/01/014）.

关键词： DB型企业年金, 随机最优控制, 资产配置, 均衡理论, 权衡收益, defined benefit enterprise annuity , stochastic optimal control , asset allocation , equilibrium theory , balancingthe return

中文摘要：

中国基本养老金制度筹资和支出两端受压，必然要建立“多支柱”体系，而作为第二支柱的补充性企业年金则有更大的发展空间。本文在权衡收益的视角下，以均衡考虑股东权益最大化与企业年金受益者权益最大化为目标，在降低企业年金资不抵债风险的同时，运用随机最优控制理论，构建并求解出企业年金最优资产配置比例所满足的HJB方程，得出企业年金最优资产配置比例的解析解。结论显示，无论年金资产是否出现资不抵债风险，公司资产配置比与年金资产配置比都呈现负相关关系，即可得出企业年金负债越多，企业高管在投资决策中越保守的结论。

英文摘要：

China＇s basic pension system is under great pressure in terms of both financing and payout,which make it necessary to establish a ＂multi-pillar＂ system. Supplementary enterprise annuity as the second pillar has more room for development. From the perspective of weighing earnings, this paper took the maximization of both shareholder interests and the interests of annuity beneficiaries as its objective, used the stochastic optimal control theory to build and solve the HJB equation that optimal allocation ratio of enterprise annuity satisfies, and obtained the analytic solution for optimal asset allocation ratio of enterprise annuity, while trying to reduce insolvency risks of enterprise annuity. The results showed that regardless of insolvency risks of annuity assets, the allocation ratio of company assets was negatively correlated with the allocation ratio of annuity assets, which led to the conclusion that the more enterprise annuity liability, the more conservative corporate executives would be in their investment decision-making.