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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2023, Vol. 40 ›› Issue (5): 715-737.doi: 10.3969/j.issn.1005-3085.2023.05.003

• • 上一篇    下一篇

城镇职工养老基金管理的情景分析

季兵兵,  陈志平   

  1. 西安交通大学数学与统计学院，西安 710049
  • 收稿日期:2023-02-14 接受日期:2023-05-22 出版日期:2023-10-15 发布日期:2023-12-15
  • 基金资助:
    国家自然科学基金(11991023; 11901449; 11735011).

Scenario Analysis of Urban Pension Fund Management

JI Bingbing,  CHEN Zhiping   

  1. School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an 710049
  • Received:2023-02-14 Accepted:2023-05-22 Online:2023-10-15 Published:2023-12-15
  • Supported by:
    The National Natural Science Foundation of China (11991023; 11901449; 11735011).

摘要：

由于劳动力下降和人口老龄化加速，中国城镇/企业职工养老金系统面临重大挑战。为了提高养老金系统的长期可持续性并减少政府对其的干预，政府从2015年开始允许将养老金投资于中国金融市场。从中国养老金决策者的角度出发，基于混合多阶段随机规划和动态随机控制技术的投资决策优化模型，从实证角度系统探讨宏观经济、人口等因素对养老金系统的影响。结果表明：下调利率可有效对冲降低缴费率对基金系统产生的负面影响；通货膨胀率的增长以及GDP增长率的下降将对养老金系统产生消极影响；在职/退休职工增长率的下降/增加给基金系统带来直接的消极影响，且相较于在职职工增长率的变化，基金系统对退休职工增长率的变化更加敏感。最后，基于所收集到的证据，给出了相应的政策建议。

关键词: 中国城镇养老基金, 情景分析, 可持续性, 缴费率, 利率, 通货膨胀率, GDP增长率

Abstract:

The Chinese urban public pension system is facing significant challenges due to a declining workforce and a rapidly ageing population. In 2015, to enhance its long-term sustainability and reduce the interventions of the central government required to improve its funding condition, the government removed several operational constraints and allowed investment in Chinese financial markets. Based on an investment decision optimization model that combines multi-stage stochastic programming and dynamic stochastic control, this paper systematically explores the impact of macroeconomic and demographic factors on the pension system from the perspective of Chinese pension policy makers. The results show that: a reduction in interest rate can effectively hedge the negative impact of a reduction in contribution rate on the pension system; an increase in inflation rate and a decrease in GDP growth rate will have a negative impact on the pension system; a decrease/increase in the growth rate of active/passive population will have a direct negative impact on the pension system, and the pension system is more sensitive to passive than to active population growth rate. Finally, this paper provides policy recommendations based on the evidence collected.

Key words: Chinese urban pension fund, scenario analysis, sustainability, contribution rate, interest rate, inflation rate, GDP growth rate

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