【摘要】：投保人壽命超出預(yù)期、利率長期處于較低水平和股市收益率降低都在一定程度上促使著養(yǎng)老金缺口的增大,由此帶來的問題就是越來越多的國家逐步陷入到養(yǎng)老金危機(jī)當(dāng)中。為了應(yīng)對養(yǎng)老金危機(jī),最有效的辦法無疑是提高養(yǎng)老基金投資組合的收益率,因此尋找一個可以評估養(yǎng)老基金投資組合優(yōu)劣的辦法就顯得很有意義。本文通過對蒙特卡羅模擬得到的經(jīng)濟(jì)場景進(jìn)行數(shù)據(jù)挖掘,進(jìn)而評估養(yǎng)老基金不同投資組合的優(yōu)劣。首先,從蒙特卡羅模擬得到的經(jīng)濟(jì)場景中選取一組最優(yōu)的資產(chǎn)負(fù)債比指標(biāo)決定變量,然后建立Logistic回歸模型并在R語言中實(shí)現(xiàn),同時使用決策分析的方法來評估模型擬合度。之后,結(jié)合歷史數(shù)據(jù)并考慮季節(jié)性因素構(gòu)建時間序列模型,對長期國債的實(shí)際收益率和名義收益率做出預(yù)測。最后,通過預(yù)測六個投資組合的資產(chǎn)負(fù)債比高于100%的概率,來從中選出一個最優(yōu)的投資組合。
[Abstract]:The life span of policy holder is longer than expected, the interest rate is in low level for a long time and the stock market yield is lower to a certain extent, the pension gap is enlarged to a certain extent, the problem that brings about is that more and more countries gradually fall into the pension crisis. In order to deal with the pension crisis, the most effective way is undoubtedly to increase the return rate of the pension fund portfolio, so it is meaningful to find a way to evaluate the pension fund investment portfolio. In this paper, the economic scenarios obtained by Monte Carlo simulation are mined to evaluate the advantages and disadvantages of different investment portfolios of pension funds. Firstly, a set of optimal asset-to-liability ratio determinants is selected from the economic scenario of Monte Carlo simulation, then Logistic regression model is established and implemented in R language, and the method of decision analysis is used to evaluate the fitness of the model. Then, combining historical data and considering seasonal factors, a time series model is constructed to predict the real and nominal yields of long-term government bonds. Finally, an optimal portfolio is selected by predicting the probability that the asset-to-liability ratio of six portfolios is higher than 100%.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.59;F840.6;F224

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