A Study On The Asset And Liability Management Of Basic Pension Fund

Old-age pension is the important social pension and is the "Life-saving money" of people.As a result,safety,liquidity and profitability are of great significance in investing and managing the pensions.The fundamental old-age pension in our nation is mainly invested in bank deposit and treasury bond at present.Although the safety and the liquidity of the pension are guaranteed,the profitability is always at a low level.With the acceleration of Chinese aging of population,the recessive debt become dominant due to the reform of the endowment insurance system,which causes that the loss of individual account become increasingly serious.The age pension is in a trouble in which it is more and more difficult for the pension to make ends meet.In addition,the contradiction of safety,liquidity and profitability is especially outstanding.Although some related policy has gradually expanded financing channels,based on long-term consideration,how to establish an asset-liability management system of old-age pension to present condition of China and how to preserve and appreciate the pension need to be solved immediately.The article studies the asset-liability management problem of the Chinese basic endowment insurance fund.The research of the available documents on this problem can be divided into the exploration under the mean-variance framework and under the utility framework.The mean-variance framework appears earlier,has detailed academic origin,and had been used widely,however,the utility framework appears later but the parameter setting is more flexible,so it is convenient to carry on the empirical research.Because the models under these two models have their own merits,the paper further studies the asset-liability management problem of the Chinese basic old-age pension,based on the two frameworks and focusing on the different aspects,so these two frameworks could complement and support each other,and construction is expanded from the theoretical studies to empirical studies.In terms of the theoretical studies,the article discusses the background of fundamental old-age pension system,including historical change of endowment insurance system,present basic endowment insurance system and the investment management policy of pension.On the basis of documentary work and the study of system,the paper builds a model of asset-liability management of fundamental old-age pension system which can be applied to China and expands and improves the model.Based on the mean-variance framework,the article builds an asset-liability management model which considered the continuous time,incomplete market and learning effect.In the empirical study,in order to obtain more realistic endowment insurance actuarial data,the paper measures the cash flow and the liability of basic endowment insurance fund.On the basis of the estimation of the number of staff and workers and the wage,the conclusion is that the cash flow of the basic endowment insurance will be balanced in 2010-2030.In the measurement of liability,according to the present endowment insurance system of employees,we analyzed the different parameters and measure the liability of basic endowment insurance under parametric hypothesis.The result of measurement of cash flow and liability shows that the situation that the problem of insolvency of the endowment fund is very severe and that how to maintain and increase their value of endowment insurance fund is already very urgent problem.Under the mean-variance framework,based on the intertemporal asset allocation model built by Hoevenaars et al.(2007),the article studies the asset-liability management of endowment insurance fund from the perspective of one-term asset allocation and short-term and long-term asset allocation.The research finds:Firstly,the weaker the risk appetite is,the less expected return rate and standard deviation of one-term asset allocation strategy are,the less the allocation ratio of the stock and bond is and the higher the deposit rate is;Secondly,under condition of certain risk preference,the longer the investment term,the higher expected return on investment and standard deviation;On the whole,when the fund manager has a low tolerance for the risks,the short-term asset allocation strategy can bring a higher return.However,while the tolerance for the risk and the demand for the high return increase,only applying the long-term asset allocation strategy can obtain higher return under certain risks.Under the utility framework,based on the model of asset-liability management by Kouwenberg(2001),which considered the government administrative costs and the risk of payment,the article studies the asset-liability management of the basic endowment insurance fund in China by using stochastic simulation.The research finds that firstly,the basic endowment insurance fund in China has a low ratio of capital.In order to raise the target ratio of capital,the most aggressive asset allocation strategy needs to be applied.Secondly,at present the risk of payment of basic endowment insurance fund is very high.With the target capital ratio in the end of the term increase,the risk of payment will become less.Thirdly,in order to improve the capital ratio of the endowment insurance fund and to decrease the risk of payment,the manager must raise the contribution rate of the government to the basic endowment insurance fund.This innovation of the article:Firstly,the paper breaks the inherent framework,based the current endowment insurance policy,returns to reality better and measures the dynamical balance of the cash flow of the endowment insurance fund.Therefore,the method is more prudent and scientific than the earlier methods;Secondly,on the basis of analyzing the current macro economy and running status of the basic endowment insurance fund,the article measures the liability of the basic endowment insurance fund,and the results are more proximate to the practical situation;Thirdly,by selectively introducing and improving on foreign frontier theory,the paper establishes the theoretical framework of Chinese basic pension fund asset liability management system,containing the mean-variance framework,and utility framework of asset liability management,constitutes a logical system of supplement and support each other;Fourthly,in the theoretical research of asset-liability management of the endowment insurance fund under the mean-variance framework,based on the research of the Zhang(2014)and Zijia Yuan and Zhongfei Li(2010),the article builds an asset-liability management model which considers the continuous time,incomplete market and learning effect;Fifthly,in the empirical research of the asset-liability management model of endowment insurance fund under the utility framework,it combines the running status of basic endowment insurance fund in China and the fixed effect and mixed effect model and simulates the dynamic process which suits China's national conditions.