Enterprise Annuity Optimization Model

The serious aging problem brings the unprecedented pressures to our country's basic old-age insurance payment system. So undoubtedly occupational pension has a broad prospect and will play an increasing important role in the economy and society development in our country. The quality of occupational pension fund investment will affect the quality of the life retired directly. Therefor, scientific and effective occupational pension fund investment optimization theory is the premise and the foundation to guarantee its benign development. Basing on former study, taking use of advanced research technique and technology, from the perspective of market environment in China, this paper aims to provide the scientific and theoretical instruction for the occupational pension fund investment optimization.Firstly, this paper defines the occupational pension, introduces the present situation for occupational pension in China and the problems in developing process and the significance of establishing occupational pension. And it further analyzes the occupational pension collection patterns and actuarial models, and discusses the common pension to pay for DB pattern in detail. Secondly it analyzes the occupational pension fund investment management process, the investment principles of the fund, the risks faced in the investment process and the methods for the measuring of risks, and finally especially illustrates the VaR risk measure methods, and obtains the changing relations between the substitution rate and the returns ratio by the method of the simulation.The core of this paper is the optimization model and the empirical study. It introduces the Mean-VaR model on the base of Markowitz's M-V model firstly, and then improves the M-VaR model in which the transaction cost is taken into account. In most cases, the asset portfolio strategy has to be changed timely with the change of the external environment or the market in order to optimize the profits. So the dynamic M-VaR model is proposed. Besides the empirical study has been done separately for those 3 models by using SAS/OR module and the result of the empirical study proves that the very model is considerably feasible and reasonable.At last the conclusions come out and some advice for policy are introduced.