【作者】 布晓龙；

【导师】 黄向阳；

【作者基本信息】 中国人民大学 ， 风险管理与精算学， 2008， 硕士

【摘要】 PROST(养老金改革可选方案模拟工具包)是由世界银行社会保障部开发的一个通用的、基于微机的预测模型。它以人口状况、年龄结构、宏观经济形势等统计资料作为依据,可以模拟未来75年的人口结构、养老保险金收支和隐性债务发展趋势等情况,为养老保险政策设计提供参考。PROST目前在多个国家运用,但长期缺乏必要的升级。本文以其采用的精算假设为研究对象,探究其合理性与一致性,以期提高模型的适用性与精确性。本文首先采用了全面数据质量管理的观点,运用TDQM方法检验了PROST模型的精算假设的一致性,对模型假设中的多处不一致之处予以指出。然后分章节针对各处进行了修改。修改之处有死亡率假设、退休人口假设、缴费工资假设等等。为改进死亡率假设,本文分析并比较了各种修匀方法,最终采用了分段参数修匀法。与此同时,对各个修改处运用实际数据作了改进的检验。最后,本文运用质量控制的观点,将PROST作为软件进行了整体评价。本文验证了PROST中数据管理的重要性,同时可为PROST日后升级提供参考。更多还原

【Abstract】 PROST (Pension Reform Options Simulation Tool-kit) is a generic, computer-based forecasting model, which was developed by Department of Social Security, The World Bank. Based on demographic situations, age structures, macroeconomic situations and other statistical information, it could simulate future structure of population, pension payments and implicit debt of the next 75 years, and also provide reference for pension policy design. Now PROST is used in many countries, but it has been in Lack of necessary upgrades for a long time. This paper considers the rationality and consistency of actuarial assumptions of PROST, intended to improve the accuracy and applicability of this model.This paper first adopts the view of Total Data Quality Management, and tests the consistency of actuarial assumptions of PROST using TDQM, then points out and improves the inconsistent assumptions. The thesis improves the mortality table assumption, amends the assumption of retired population, wage and contribution. Before improving the mortality table, the paper analyzes and compares 5 different graduation methods, and finally chooses spline graduation because of its accuracy and applicability. At the end of this article, PROST is evaluated as a software using the view of quality control.The thesis stresses the importance of data quality management. I hope this thesis could dedicate to the upgrade of PROST in the future.更多还原