China's Basic Pension Asset And Liability Management Study

The pension system is a basic national system in most countries in the world as a public policy to guarantee, improve and enhance the national citizen's life after retirement. Since1891the world's first pension system established in Germany, economists, sociologists have been doing the related research about the pension system, not only because of its deep influence of economic and social, but also because of the accelerated aging population in all over the world, and the overall development of the world economy made the human need more and more pension year by year, the numbers of workers who leave workplace earlier multiplies, and to avoid high inflation and use the moderately tight fiscal policy, which all make nations, and some forms of the pension system suffering from a severe test, China is no exception.The pension system of Chinab was established in1951, and reformed many times after experiencing the reform of economic system and encountering the aging of the population according to the World Bank advice, China established a pension system of more pillars, which finished the full pay-as-you-go system and changed to mixed pension system. But the pension system is facing the manifest of implicit debt, low level of overall planning, difficulties in adjusting and balancing in the whole pension fund, single investment channel, the return of pension fund cannot afford to the inflation, no stable indexation policy of the payment and so on, which force us to find a really settlement to settle the dilemma of pension operation and guarantee the system efficiency and sustainable. This thesis deeply analyzed the vicissitude of pension system and the reasons of difficulties in pension system's operation, commented the viewpoints of different scholars about the ways to solve the implicit debt, and consider maintenance and appreciation of the pension fund values the most feasible strategies and choose this as the analysis perspective of this thesis. It put forward to enhance overall level, and establish a national basic pension fund operation management institutions, which is system guarantee to realize the goals of maintenance and appreciation of the pension fund, and applying the theory of assets and liabilities management and multistage stochastic programming models which are proved to be very efficient by international researches and practice, is the best way to full realization the targets of basic pension fund's.This thesis used the actuarial models, econometric models, mathematical analysis and other research methods. Specifically, using the actuarial method to calculate the future payment of basic pension fund, using the econometric models to analysis the returns on different assets of capital market, Combined with and learn the assets and liabilities management methods for pension fund which are esteemed and frontier in the world, this thesis build the multi-stage stochastic programming assets and liabilities management model for our basic pension fund. In order to get the better, more scientific and more comprehensive model empirical analysis, this paper especially selected three stages to do the empirical analysis, the first phase2006-2008of more boom securities market, the second phase2009-2011of depression securities market, and the third phase future period2012-2013, the empirical analysis of the first two stages belongs to the simulation analysis, the empirical analysis of the third stage belongs to forecast analysis, For implicit debt subject, this thesis considered whether the national finance or the basic pension fund self to undertake,for the emergence of payment gap of basic pension fund, by using two kinds of method:annuity and perpetuities to solve it, about the indexation of pension payment, the thesis consider three circumstances:the complete indexation, the50%indexation and no indexation. Through solving analysis in each stage and comparative analysis between two stages, found the basic pension funds participate in capital market to invest stocks, no matter in the securities market boom or securities market depression, the comprehensive rate of fund return is higher than the current yield by using current investment methods, and the optimization model in securities market can adjust automatically, when the market in bad situation, the allocation strategy will optimize by itself to change the proportion of allocation on different asset types. The contribution rate are influenced by several elements, such as whether consider the implicit debt or not, whether consider the future payment gap, the state finance undertake and indexation of pension payment. Through the model improvement, the preference about the contribute rate's change of insured employees are taken considered by the improved model, we find that the basic pension funds participate in the capital market, in the current contribute rate, it can do fully indexation payment every year according to the wage growth rate, and to establish a stable, rules of pension payment adjustment policies. In addition, in the country's capital market has gradually mature, to lower the contribute rate with international standards is completely feasible and necessary. Finally, this thesis based on the conclusion, puts forward to several policy suggestions:the establishment of a national basic pension funds operation organization, government should share the pension implicit debt strategically establishing stable indexing adjustment rules, allowing to the fund participation in capital market, expanding investment channels, ensure maintenance and appreciation of the pension fund values, setting up the pension fund risk supervision mechanism.