我国职业年金精算定价模型及风险管理策略：一种附加收益保障的新思路

2014年底，国务院常务会议和中央政治局常委会通过了我国养老金并轨方案，并且重点提出要为机关事业单位职工建立职业年金计划。随着我国机关事业单位养老保险制度改革的进程，如何建立适当的职业年金计划已经成为了改革成功与否的关键所在。在这一背景下，本课题将借鉴国外非盈利性机构和公职人员养老金计划的发展经验，结合我国养老保险制度的现状，来研究如何通过建立合理的机关事业单位职业年金计划来实现职工总体福利的不倒退，从而保证改革顺利进行。本课题将利用金融学和经济学的一般规律和方法，构造职业年金计划的精算定价模型，将职业年金计划的选择和风险管理等问题建立在量化分析的基础上进行研究，提出在欧洲和北美已被采用的附加收益保障的职业年金计划。本课题还将研究机关事业单位职工的总体福利水平，在维持职工总体福利不倒退的前提下，分析职业年金对政府所造成的额外成本，并探讨职业年金计划所面临的投资风险以及应对风险的对冲策略。

By the end of 2014, the State Council executive meeting and the Central Politburo Standing Committee of CPC passed the "pension merger" program, which proposed to establish occupational pension plans for government and public employees. Therefore, how to build a proper occupational pension scheme has become a crucial question of the pension reform for government and public employees and the key to the success. In this context, this project will learn from the pension system development experiences of foreign countries for public employees. We will also consider the design of occupational pension based on the total welfare of government and public employees in China. This project will establish the actuarial pricing model for occupational pension plans based on the general finance and economic principles. Meanwhile, we will consider the choices of occupational pension plans and risk management problems based on the quantitative analysis and propose a defined benefit underpin pension plan which has been widely adopted in Europe and North American. We then analyze the extra costs for government caused the specific occupational pension plan based on the no-backward total welfare assumption. Finally, the project will calculate the potential investment risks of the occupational pension plan and corresponding hedging strategies.