年金保险的供求困境与账户年金化
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摘要
本文基于当前各种基金积累制养老金计划的发展和人口长寿风险逐渐显现的背景,主要考察部分基金积累制和基金积累制养老金账户与商业年金市场发展之间的关系。本文着重分析了人口长寿风险的产生、年金保险的保障价值和商业年金保险市场发展所遭遇的困境,全面梳理了各国基金制养老金计划的年金化政策,对当前国际年金保险市场发展状况进行了系统回顾,并对市场发展的主要经验进行了总结。本文最后对中国商业年金保险市场发展前景进行了分析,对个人年金税惠政策建议进行了反思,对我国基本养老金个人账户与商业年金保险市场之间关系进行重点讨论。
本文的主要观点和结论是,年金保险作为长寿风险管理形式,尽管能带来“死亡率红利”,提供终生养老保障,并能让受益人实现终生消费效用最大化,但商业年金保险市场因存在“逆选择”、“短视和侥幸”、购买年金保险面临的“次生风险”、“遗赠效用”、“挤出效应”和市场有效供给不足等问题而难以摆脱“年金困境”,市场发展需要年金化政策推动,而不断发展起来的基金积累制养老金账户的年金化已成为当前国际年金保险市场的主要发展路径。由于我国补充性养老金的税惠政策推出还具有不确定性,也缺乏与税惠政策相配套的年金化政策,而基本养老金个人账户的商业年金化又并非是一种明智之举,这决定了我国在今后较长一段时间内难以出现英国、智利、瑞士等国家的年金保险市场发展模式,发展前景仍有较大不确定性。总的来说,我国商业年金保险市场未来发展路径怎样,将主要取决于社会养老保障制度在今后如何进一步改革和调整。
This paper mainly focuses on the relationship between funded pension account annuitization and commercial annuity market development under the background of the growing-up funded pension plans and the increasing longevity risks. To be specific, its analysis involve the characteristics of longevity risk, annuity insurance’s value and the“annuity puzzle”in the market, the annnuitization policy of funded pension plans in various countries, and attempt to draw a conclusion of development experience of international annuity insurance market. This paper also reviews the status quo of commercial annuity market in China, rethinks the advice of favourable tax of individual annuity, chiefly explores the relationship between the individual account in basic pension system and commercial annuity insurance market.
Annuity insurance, as form of longevity risk management mechanism, can create mortality premiums and give the life pension benefit which maximize the beneficiary‘s whole life consumption utility. However, there is annuity puzzle in voluntary annuity market because of the adverse select, the myopia or fluke psychology, the risks following the purchase of annuity insurance, bequeath utility, crowding-out effect, and the under-supply of products and etc. The annuity insurance market if with the support of annuitization policy will march further, which has lively been reflected by the international annuity insurance market experience. In China, the uncertainty surrounding the favorable tax policy to be put into place and the lack of the matching annuitization policy in the supplementary pension system, and the nonfeasibility of individual account in the basic pension system to be commercially annuitization now according to some advices, decide that our annuity insurance market would not follow the same growth path as in Britain, Chile, Switzerland and so no in the near future, so the market development prospect will still be uncertain in some extent. In a word, the growing path of annuity insurance market will mainly depend on how social pension insurance system continues to be reformed and regulated.
本文的主要观点和结论是,年金保险作为长寿风险管理形式,尽管能带来“死亡率红利”,提供终生养老保障,并能让受益人实现终生消费效用最大化,但商业年金保险市场因存在“逆选择”、“短视和侥幸”、购买年金保险面临的“次生风险”、“遗赠效用”、“挤出效应”和市场有效供给不足等问题而难以摆脱“年金困境”,市场发展需要年金化政策推动,而不断发展起来的基金积累制养老金账户的年金化已成为当前国际年金保险市场的主要发展路径。由于我国补充性养老金的税惠政策推出还具有不确定性,也缺乏与税惠政策相配套的年金化政策,而基本养老金个人账户的商业年金化又并非是一种明智之举,这决定了我国在今后较长一段时间内难以出现英国、智利、瑞士等国家的年金保险市场发展模式,发展前景仍有较大不确定性。总的来说,我国商业年金保险市场未来发展路径怎样,将主要取决于社会养老保障制度在今后如何进一步改革和调整。
This paper mainly focuses on the relationship between funded pension account annuitization and commercial annuity market development under the background of the growing-up funded pension plans and the increasing longevity risks. To be specific, its analysis involve the characteristics of longevity risk, annuity insurance’s value and the“annuity puzzle”in the market, the annnuitization policy of funded pension plans in various countries, and attempt to draw a conclusion of development experience of international annuity insurance market. This paper also reviews the status quo of commercial annuity market in China, rethinks the advice of favourable tax of individual annuity, chiefly explores the relationship between the individual account in basic pension system and commercial annuity insurance market.
Annuity insurance, as form of longevity risk management mechanism, can create mortality premiums and give the life pension benefit which maximize the beneficiary‘s whole life consumption utility. However, there is annuity puzzle in voluntary annuity market because of the adverse select, the myopia or fluke psychology, the risks following the purchase of annuity insurance, bequeath utility, crowding-out effect, and the under-supply of products and etc. The annuity insurance market if with the support of annuitization policy will march further, which has lively been reflected by the international annuity insurance market experience. In China, the uncertainty surrounding the favorable tax policy to be put into place and the lack of the matching annuitization policy in the supplementary pension system, and the nonfeasibility of individual account in the basic pension system to be commercially annuitization now according to some advices, decide that our annuity insurance market would not follow the same growth path as in Britain, Chile, Switzerland and so no in the near future, so the market development prospect will still be uncertain in some extent. In a word, the growing path of annuity insurance market will mainly depend on how social pension insurance system continues to be reformed and regulated.
引文
①Ignazio Visco(2008).“Retirement saving and the payout phase:how to get there and how to get the most out of it”prepared for OECD conference“the payout phase of pensions, annuities and fiancial market”. . Paris, 12 November 2008
②Adam Creighton, Henry Hongbo Jin, John Piggott and Emiliano A.Valdez(2005),“Longevity Insurance: A Missing Market”Journal of Economic Literature .Classification Numbers:D91;G18
③资料来源: http://www.oecd.org/dataoecd/47/10/41941763.pdf
④年金产品包括保险类年金、分红类年金、投资连接类等,由于统计上没有将这些年金保费收入予以明确区分,所以还不清楚保险类年金保费收入到底有多少。通过对年金市场的观察,我们判断保险类年金即养老年金保险保费收入在上述统计数据中所占比例不会很大。
⑤stekke James and Dimitri Vittas“The Decumulation(Payout) Phase of Defined Contribution Pillars:Polivy Issues in the provision of Annuities and Other Benefits”The World Bank’s Working paper,October 2000.
⑥肯尼斯·布莱克、哈罗德·斯基博,人寿与健康保险(13版)[M].经济科学出版社2003
⑦原文是:“a yearly payment of a certain sum of money granted to another in fee, for life or years, charging the person of the grantor only”.引自Edwin W.Kopf,“the early history of the annuity”http://www.casact.org/pubs/proceed/proceed26/26225.pdf
⑧方明川.商业年金保险理论与实务[M].首都经济贸易大学出版社,2000,第50页。
⑨在国外的文献中,我们发现“年金”(annuity)和“养老金”在概念使用上是比较严谨的,很少用“年金计划”来代替“养老金计划”。
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40 Andrew B. Abel, "Capital Accumulation with Adverse Selection and Uncertain Lifetimes," Econometrica, vol. 54, no. 5 (1986), pp. 1079-1098.
41 Jan Walliser, "Understanding Adverse Selection in the Annuities Market and the Impact of Privatizing Social Security," Technical Paper No. 1997-4 (August 1997), available from CBO's Macroeconomic Analysis Division.
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50 Blake, D.,Burrows,W.and Orszag,J.M., 1999,“Survivor bonds: reducing the cost of pension provision”, Pension Institute, Birkbeck College,London.
51 Wadsworth, M. (2005),“The Pension Annuity Market: Further research into supply and constraints”, Watson Wyatt Discussion Paper, February.
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55 Estelle James & Xue Song“Annuities Markets Around the World Money s Worth and Risk Intermediation”CeRP’s working paper,16/2001.
56 David Blake(1999)“Annuity Markets:Problems and Solutions”. The Geneva Papers on Risk and Insurance Vol.24 No.3(July 1999)358-375.
57 Olivia S.Mitchell and John Piggott(2000)“developments in retirement provision: Global trends and lessons from Australia and the US”Pension Research Council of Wharton School ,University of Pennsylvania.
58 Rober Palacios & Rafael Rofman,“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
59 Yermo J(2002).“Private annuities in OECD countries”in“Insurance and private compendium for emerging economies”, OECD,Paris.
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61 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002.
62 Walliser, Jan,2000,“Adverse Selection in the Annuities Market and the Impact of Privatizing Social Security.”Scandinavian Journal of Economics,Vol,102,No.3,pp.373-393.
63 .G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002.
64 Olivia S.Mitchell.“the Value of Annuities”January 2004,a presentation for the Accademia Nazionale dei Lincei,Rome ,Italy.
65朱俊生,庹国柱.论做大个人养老年金保险市场[J].首都经济贸易大学学报,2007(4).
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71 O’Brien, C., Fenn, P. and Diacon, S.(2005)How long do people expect to live? Results and implications, , Centre for Risk and Insurance Studies, The University of Nottingham, June 2005.
72 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318.
73方明川.商业年金保险理论与实务[M].首都经济贸易大学出版社,第4页。
74段家喜.养老保险制度中的政府行为[M].社会科学文献出版社,2007,第2页。
75 Samuelson, P.A., 1958.,“An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money”. Journal of Politcial Economy ,vol.67.
76欧盟(EU,2006)报告显示,在过去50年里,欧盟25个成员国居民平均寿命上升幅度是每十年接近2.2年。如果平均寿命继续以过去速度上升,在今后50年里,人口出生时的平均余命可能要高于EU预计的4-4.5年。平均寿命每额外上升1年,现收现付制公共养老制度面临的长寿风险损失将等于GDP的1.2%。参见European Commission (2006).“The Impact of Ageing on Public Expenditure: Projections for the EU25 Member States on pension, health care,long-term care, education and unemployment transfers (2004-2050)”European Economy Special Report 1/2006.
77这六国包括:瑞典(1999)、蒙古(2000)、吉尔吉斯坦(1997)、拉脱维亚(1996)、波兰(1999)和意大利(1995)。参见John B.Williamson & Matthew Williams(2003).“the national defined contribution model: an assessment of the strengths and limitations of a new approach to the provision of old age security“. Center for Retirement Research at Boston College Working Paper 2003-18 October 2003. http://www.be.edu/crr.
78在瑞典和蒙古,养老金待遇指数化是以工资水平变化为基础,吉尔吉斯坦是以工资水平变化的75%为基础,波兰是以工资总额的75%为基础,而意大利是以GDP增长率为基础。
79在实行NDC计划的一些国家也有完全基金制计划,例如瑞典除了向NDC计划缴费外(为应税工资的16%),另有2.5%是向基金制个人退休储蓄账户缴费;在波兰,有12.22%构成NDC部分,另有7.3%构成基金个人账户部分;在意大利和吉尔吉斯坦,没有强制性基金制个人账户;蒙古2005年添加了费率为应税工资3%的基金制成分,到2020年费率将逐步上升到7.5%。虽然意大利没有强制性基金制,但是税收政策鼓励建立自愿性个人账户;波兰和拉脱维亚也添加自愿基金制积累成分。当NDC成分和基金制个人账户成分包括在同一计划下,就形成了混合性的或多支柱性的模式。在这种计划下,工人部分养老金会承担工资波动有关的风险,以及股市和债券市场波动带来的风险。
80所有的NDC计划出来考虑到了经济增长率和相关的宏观经济现象变化,特别是工资水平的变化,同时也考虑到了人口老龄化问题(包括计算年金公式的调整),以及劳动力规模的变化,例如拉脱维亚和波兰的计划在参保的工人发生变化时,会自动调整养老金给付额。但是这些调整并不必然使得计划能够实现财务上的收支平衡。瑞典就建立应急准备基金,如果失衡超过一定水平,瑞典还启动一个“刹车”机制,此时每年计算给付金的公式将可能被临时弃用。波兰也建立了准备金,一部分来自于现收现付制DB计划的盈余部分,还一部分是从2002-2008年应税工资的1%。从长期来说,NDC有可能会实现收支平衡,但是计划本身不能解决严重的短期失衡问题。
81 Edwin W.Kopf,“the early history of the annuity”http:// www.casact.org/ pubs/proceed/ proceed26/ 26225.pdf。
82亚当·斯密就曾认为当时英国政府发行的99年期年金的价值应该非常接近于永久性债券的价值,给付期如此长的年金应该具有可继承性。具体内容请参看:亚当·斯密,国民财富的性质和原因的研究(下)[M].商务印书馆,第476-482页。
83在19世纪后半期以前,英国和美国的保险公司使用的是由一名在Northampton教区工作的名为Richard Price的人修订的标准生命表。
84参见Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School , University of Pennsylvania.
85 George .(Sandy)Mackenzie(2006).“Annuity Markets and Pension Reform”Cambridge University Press.
86 Yaari,M.E. 1965 .“Uncertain lifetime,life insurance , and the theory of the consumer”, Review of Economic Studies 32: 137-150.
87 Ando, Albert and Franco Modigliani. 1963.“The Life Cycle Hypothesis of Saving.”American Economic Review.53(1): 55-74.
88这样的文献有Brown et al(2001)、Feldstein and Ranguelova (2001)、and Mitchell et al. (1999)等。
89 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318.
90 Wolfram J.Horneff,Raimond H.Maurer,Olivia S.Mitchell, and Michael Z.Stamos.“Money in Motion: Dynamic Portfolio Choice in Retirement”Pension Research Council Working paper 2007-07 .the Wharton School,University of Pennsylvania.
91 Davidoff T., J. Brown and P. Diamond, 2005, Annuities and Individual Welfare, American Economic Review, 95 (5), p.1573–1590.
93 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002。
94 Rob Rusconi,“The demand for annuities :international evidence and implication for Turkey’s Private pension system”presented to the OECD/IOPS Global Forum on Private Pensions ,Istanbul, 7-8 November 2006
95 Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania.
96 Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008.
97资料来源:Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania.
98 Brown,Jeffrey R. and James M.Poterba,2000.“Joint life annuities and annuity Demand by married Couples”Journal of risk and Insurance.
99 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance andPrivate Pensions,No.24,OECD Publishing。
100这里的数据摘引自Rob Rusconi(2006),“The demand for annuities :international evidence and implication for Turkey’s Private pension system”presented to the OECD/IOPS Global Forum on Private Pensions ,Istanbul, 7-8 November 2006。
101 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing。
102 Gardner, J. and Wadsworth, M. (2004),“Who would buy an annuity? An empirical investigation”, Watson Wyatt Technical Report, March.
103 Joachim Inkmann, et al(2008).“How Deep is the Annuity Market Participation Puzzle?”the Working Paper, January2008.Department of Finance ,Tilburg University..Electronic copy available at: http://ssrn.com/abstract =1099911.
104 Milevsky, M. (2004),“Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities”, paper presented at Managing Retirement Assets Symposium, Las Vegas, March 31-April 2
105 Reno, V.P.,Graetz,M.J., Apfel,K.S.,Lavery,J.and Hill, C.,EDS.(2005). Uncharted Waters: Paying Benefits from Individual Accounts in Federal Retirement Policy. Study Panel final Report, January .Washington DC:National Academy of Social Insurance.
106 Hewitt Associates. 2003.“Survey Findings:Trends and Experience in 401(k) Plans 2003.”p. 71. Lincolnshire, IL: Hewitt Associates.
107Ameriks,John. 2002.“Recent Trends in the Selection of Retirement Income Streams Among TIAA-CREF Participants.”Research Dialogue, Issue 74. New York, NY: TIAA-CREF Institute.
108卡尔·H·博尔奇.保险经济学[M].商务印书馆,1999.p432
109 Finkelstein, Amy, and James M. Poterba, 2002, Selection Effects in the United Kingdom Individual Annuities Market. Economic Journal 112(476): 28-50
110 McCarthy, David and Olivia S. Mitchell. 2006.“International Adverse Selection in Life Insurance and Annuities.”In Riding the Age Waves: Responses to Aging in Advanced Industrial States, Eds.
111这一点,本文的理论推断与Jeffrey R.Brown等(1999)实证研究结果一致:年金支付的预期折旧现值(EPDV)随购买年龄增大而下降,一种可能的解释是,退休晚的人一般比退休早的人死亡率更低。参见:Jeffrey R.Brown, Olivia .S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania。
113 Friedman, Benjamin M., and Warshawsky, Mark. "Annuity Prices and Saving Behavior in the United States." Mimeo: National Bureau of Economic Research, 1988.
114 Friedman,Benjamin M, and Mark Warshawsky,1990,“The cost of annuities: implications for Saving Behavior and Bequests”Quarterly Journal of Economics vol.105.1,pp 135-154
115 Brugiavini,Agar,1993.“Uncertainty resolution and the Timing of annuity purchases”, Journal of Public Economics, Vol.50.no.1.pp.31-62.
116 Mitchell,Poterba, Warshawsky and Brown(1999)、Brown, Mitchell and Poterba(2000)等。
117 Fong, Wai Mun, 2002, On the Cost of Adverse Selection in Individual Annuity Markets: Evidence from Singapore. Journal of Risk and Insurance 69(2): 193-207.
118 Murthi, Mamta, J. Michael Orszag, and Peter R. Orszag, 1999, The Value for Money of Annuities in the UK: Theory, Evidence and Policy. Birkbeck College Working Paper 99-19.
119 Finkelstein, Amy, and James M. Poterba, 2002, Selection Effects in the United Kingdom Individual Annuities Market. Economic Journal 112(476): 28-50
120 Andrew B. Abel, "Capital Accumulation with Adverse Selection and Uncertain Lifetimes," Econometrica, vol. 54, no. 5 (1986), pp. 1079-1098.
121 Jan Walliser, "Understanding Adverse Selection in the Annuities Market and the Impact of Privatizing Social Security," Technical Paper No. 1997-4 (August 1997), available from CBO's Macroeconomic Analysis Division.
122 Warshawsky, "Private Annuity Markets in the United States: 1919-1984."
123但也有研究观点并不完全同意这种判断。例如,美国国会预算办公室专家沃利兹尔(Walliser,1998)就认为,社会保障的引入并没有加强所有市场的逆选择。特别是,现在美国经济条件与20世纪30年代存在巨大差异,那个时候更多的人生活在农村,家庭分担风险更为普遍,65岁以上的人的平均寿命较短,而且金融市场也不太发达。因此在分析时还须考虑如何应用比较性历史证据的问题。沃利兹尔还谈到,是否在早期历史中也存在年金逆选择问题,还是一个未有证据支持解答的谜底。终身年金市场已有很长的历史,对长寿保险的需求也有很长的历史。Hans-peter Banm(1985)就记载,在欧洲中世纪商业同业工会(Hanse)城镇,终身年金向购买者提供终身给付,这种终身年金不能回赎或转手给另一个人,它们类似于现代的养老保险计划。人们经常从医院或教堂购买终身年金,这些组织不可能在支付上有违约行为,也不会就过早死亡从事投机交易。终身年金的利息比一般信用合同要高。但遗憾的是,相关的历史价格资料已经找不到,因为缺乏年金购买者的死亡率表而无法考察当时的逆选择成本问题。分别参见Hans-peter Banm(1985)“Annuities in Late Medieval Hanse Towns”Business History Review,vol,51 no.1.pp.24-28;Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO)
125这里的讨论参考了Eckstein-Eichenbaum-Peled分析模型,见:Eckstein, Z., Eichenbaum, M.S. and Peled D. (1985) ‘Uncertain lifetimes and the welfare enhancing properties of annuity markets and social security’, Journal of Public Economics, 26, pp.303-326。
126有学者比较了在存在社会保障计划和不存在社会保障计划时年金的等同价值(AEW),发现当存在先期年金即社会保障计划时,再购买年金所带来的年金等同价值(AEW)为1.33,而不存在先期年金时,购买年金所带来的等同价值为1.502,这就将年金边际效用递减效应量化了。当然这些数据是根据研究者选择的一些假定参数,并基于效用边际递减函数模型(例如对数模型)计算出来的。参见Brown, Jeffrey R. and Mark J. Warshawsky(2001). “Longevity-Insured Retirement Distributions from Pension Plans: Market and Regulatory Issues.”NBER Working Paper no.w8064. Cambridge, MA: National Bureau of Economic Research.
127 Friedman, Benjamin and Mark J. Warshawsky. 1990.“The Cost of Annuities: Implications for Saving Behavior and Bequests.”The Quarterly Journal of Economics, February, pp. 135-54.
128 Gale,William G. and Joel B.Slemrod.“Rethinking the Estate and Gift Tax: Overview.”2000. Working paper .
129与这些观点相关的详细参考文献,请参见Brown, Jeffrey R. and Mark J. Warshawsky(2001).“Longevity-Insured Retirement Distributions from Pension Plans: Market and Regulatory Issues.”NBER Working Paper no.w8064. Cambridge, MA: National Bureau of Economic Research.
130本杰明·M·弗里德曼等人(1985)利用生命周期储蓄和组合行为的拓展模型并通过模拟计算就这一问题进行了探讨,请参见Benjamin M.Friedman,Mark Warshawsky,“the Cost of Annities:Implications For Saving Behavior and Bequests”. Working paper No.1682. August 1985.
131 Kotlikoff, Laurence J. and Avia Spivak, 1981,“The Family as an Incomplete Annuities Market,”Journal of Political Economy, Vol. 89, No. 2 (April), pp. 372-391.
132 Blake, David, 1999, "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance—Issues and Practice, Vol. 24, No. 3 (July).
133在寿险业内,再保险虽然有助于风险在全国范围内和国际上的大量保险公司之间分散,但只有在公司面临着不同风险,为行业风险分摊留有空间的情况下,再保险才能发挥作用。E·菲利普·戴维斯(2002)认为,再保险不适合年金,因为年金中的长寿和市场回报风险是普遍性的。再保险相当于某种形式的补偿基金,可能会导致道德风险和公司的过度冒险出现,消费者自律的弱化也将会加强这种危险。参见E Philip Davis,“Issues in The Regul- ation of Annuities Markets”paper pre sented at the conference“Developing an Annuity Market in Europe”June 21-22, 2002.
134 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions , Research Report No 318.
135目前,银行业、基金业、证券业都开发出了多种个人理财工具,使得年金保险产品在储蓄和投资增值方面面临
136 Pablo Antolin“form of benefit payment at retirement”DAF/CMF(2008)25 p4
139肯尼斯·布莱克、哈罗德·斯基博(1999).人寿保险(第十二版,中译本)[M].北京大学出版社,第112页。
140 OECD(2008).“Policy Options for The Payout Phase”directorate for financial and enterprise affairs committee on financial markets DAF/CMF(2008)24 23-Oct-2008。
141 E Philip Davis(2002).“Issues in the Regulation of Annuities Markets”.Brunel University West London.18th October 2002.
142在瑞士,个人退休储蓄计划的领款形式与自愿职业养老金计划一样,但强制性职业计划受到的限制更多。
143参见SMF (2000).“Annuities: the case for change”.http://www.smf.co.uk/welfare-reform.html.
144 OECD(2008).“Policy Options for The Payout Phase”directorate for financial and enterprise affairs committee on financial markets DAF/CMF(2008)24 23-Oct-2008。
146请参见OECD(2008).“Policy Options for The Payout Phase”directorate for financial and enterprise affairs committee on financial markets DAF/CMF(2008)24 23-Oct-2008.
147 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002
148 Rocha,R.,Thorburn,C.,(2008),“debeloping annuity markets :the experience of Chile”World Bank publication.
149 George A.(Sandy)Machenzie(2006).“Annuity Markets and Pension Reform”. International Monetary Fund, Cambridge University Press.p138
150同时,英国还对年金化做了具体规定:比如,在A-day(即2006年4月6日)前,如果每年获得工资性收入少于260英镑,即每周5英镑时,退休时可不用年金化。A-day后,年金化条件有所调整,私人养老金账户的资本总额少于15,000英镑的可不用年金化。
151其中有21亿英镑的销售额是属于收入提款类计划(income draw-down)。收入提款计划的账户基金在领取阶段是分期提取,提完即止,不具有年金保险功能,不能提供长寿风险保障(ABI Life Insurance Monthly,2005)。
152 Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008.
153 Murthi, Mamta, J. Michael Orszag, and Peter R. Orszag. 1999a. "The Value for Money of Annuities in the U.K.: Theory, Experience, and Policy." Mimeo, Birkbeck College, London.
154这种巨大差异可以反映出三个问题:一是强制性政策是年金市场发展的一个主要方式,可能也是一种必需的方式;二是强制性政策应该给自愿性年金市场带来了一定挤出效应,但这一点对于年金市场发展本身来说并不重要;三是自愿年金市场可以视为对强制性市场的一种补充,这种补充也是必要的。
155 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
156精算专家和政府精算署(Government Actuary’s Department)对英国人口,及许多分类人口(如被保险人群体、年金购买者群体)的死亡率已经进行了很多年的研究,但过程进行的不是很顺利。比如没有扭转对过去10、20多年老年人死亡率下降的低估趋势。参见Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
157参见Bütler, M & M Ruesch (2007),“Annuities in Switzerland”, World Bank Policy Research WorkingPaper 4438, December.
158年金转换系数(或转化率,CR)就是根据退休时预期余命确定的每年给付额占账户储蓄资本金的比率,转化率的倒数相当于平均余命,每年领取的年金就是账户退休资本金与转化率的乘积,转化率(或转化系数)越高,年金领取额也就越大。
159 Bütler, M and F Teppa (2005).“Should You Take a Lump-Sum or Annuitize? Results from SwissPension Funds”, Working Papers.
160 Roberto Rocha, Craig Thorburn.“Developing Annuities Markets: The Experience of Chile”. The World Bank.2007, p137.
161 Estelle James & Xue Song.“Annuities Markets Around the World Money s Worth and Risk Intermediation”.CeRP’s working paper,16/2001.
162具体来说就是,可自由提取的余额部分就是退休时账户的积累余额与法律规定的能保证一定养老金水平的参考标准之差。在阿根廷,法律规定的参考水平为个人过去5年的平均应税收入的70%和普遍性基本养老金300%这两者中最大者;智利是过去10年平均应税收入的70%和最低养老金120%水平这两者中最大者;秘鲁是过去10年领军应税收入的80%。
163 Rober Palacios & Rafael Rofman,“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
164 Rofman, R.“Developing annuities markets in the LAC region. Issues and prospects. The case of Peru.”Background Paper, July 1999.
165目前拉丁美洲人口接近5亿,预计到2025年达到6.48亿,6个国家(阿根廷、巴西、智利、哥伦比亚、墨西哥和乌拉圭)目前就占了拉丁美洲3/4的市场,2001年65岁以上老人有5000万人,在个人账户制和强制性年金化背景下,这将促使拉丁美洲将成为一个巨大的年金市场。参见Mike Orszag and Mirko Cardinale(2002).“Paying out private pensions in Latin America”Watson Wyatt Technical Report
166南非的养老金从DB制向DC制转化浪潮先后经过了三个阶段:第一个阶段是由工会推动,黑人工会成员转向DC计划;第二个浪潮是由雇主推动,其他成员转向了DC基金。这些基金大部分仍存在,但向新成员关闭,只是向那些不能转化的成员开放。第三次是完全关闭DB基金,这种浪潮现在看起来已经出现了。参见Dion Travers George.“Analysis of South African Pension Fund Conversions:1980-2006;Developing a Model for Dealing with Environmental Change.”University of South Africa , paper for degree of Doctor ,2006.
167 Rusconi, R (2006a),“Non-profit Annuities: Thoughts on South Africa”, presented to the Actuarial Society of South Africa, February, available at www.assa.org.za .
168这些年金包括:(1)定期或生存即期年金;(2)名义定额年金,名义给付额每年以1-8%的幅度增加;(3)消费物价指数化年金;(4)与资产收入表现关联的年金;(5)利润分享性年金,初始折现率可以选择。对于这些年金,通常提供有各种保证性给付待遇,给付保证期由年金购买者自己选择,有1-25年期,以避免受益人过早死亡而带来利益损失,南非的产品不采用初始资本的返还条款。(6)连生年金,生存者给付金的减少额在0-100%之间,购买者可以自己选择。南非的伤害年金市场还小,但正在发展,购买者是嗜烟者或患有重疾病者。
169 Rusconi, R (2006a),“Non-profit Annuities: Thoughts on South Africa”, presented to the Actuarial Society of South Africa, February, available at www.assa.org.za
170 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
171 Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania.
172 Estelle James & Xue Song(2001)“Annuities Markets Around the World Money s Worth and Risk Intermediation”CeRP’s working paper,16/2001.
173 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
174 Jeffrey B.Lieman & Harvard University“the role of annuities in a Reformed U.S. Social Security System”. 2002-17
175 Martin Hering, Michael Kpessa (2006)“Private pensions and Income Security in old age: An Uncertain Future-Conference Report”,SEDAP Research Paper No.180. http://socserv.mcmaster.ca/sedap/ConfpresNov2006.htm.
176尽管在20世纪50-60年代,人口和工资收入的急剧增长刺激了PAYG公共安全网计划的发展,加上债务负担较轻,以及对股份回报高估使得DB计划主办者认为他们能够在缴费不多的条件下是能够提供慷慨的DB给付金。但这种优越条件在目前是越来越不存在的。参见Martin Herping & Michael Kpessa.“Private Pensions and Income Security in Old Age An Uncertain Future—Conference Report”SEDAP Research Paper No.180 March 2007.
177 Brown, Jeffrey and Mark Warshawsky (2001).“Longevity-Insured Retirement Distributions from Pension Plans: Regulatory and Market Issues,”NBER Working Paper No. 8064, Cambridge, MA.
178 OECD (2007)“Closing the Pensions Gap:The Role of Private Pensions”OECD‘s working paper.
179在西班牙的年金市场,目前最常见的年金类型是公司与保险公司在养老金计划积累阶段结束后签订的团体保险合约。团体年金的需求来自于几个方面:(1)在企业并购后,特别是银行系统内将会发生大量解职现象,这要求为被解雇人员提供年金保险;而靠近正常退休年龄的人一般会提前退休,而在正常退休年龄之前的养老金缺口问题就可能需要购买年金来解决;(2)账面准备金取消后,养老金计划采用了基金制,因此对养老金资产的外部化管理需求上升,这需要保险公司提供的团险业务来满足。
180 OECD (2007)“Closing the Pensions Gap:The Role of Private Pensions”OECD‘s working paper.
181 Pablo Antolin“form of benefit payment at retirement”DAF/CMF(2008)25. P4.
182 Suzanne Doyle, Olivia S.Mitchell.John Piggott(2004).“Annuity Values in Defined Contribution Retirement Systems: Anstralia and Singapore Compared”. School of Economics University of New South Wales Journal of Economic Literature Classification Numbers:D91;G18. .e-mail: S.doyle@unsw.edu.au.
183由于“最低限额”(MS)不断提高,而CPF的缴费率自1999-2003年间在下滑,达到MS要求的成员比例一直在下降,目前年满55岁的成员约有35.6%满足了MS要求,而在1996年这一比例为57.1%。为达到MS要求,必然会要求成员减少提款行为。从2009年1月1日开始,普通账户和特殊账户余额提款率从目前的50%将每年减少10个百分点。这样更多的成员在55岁时才能够达到必需的MS条件。
184 Suzanne Doyle, Olivia S.Mitchell.John Piggott(2004).“Annuity Values in Defined Contribution Retirement Systems: Anstralia and Singapore Compared”. School of Economics University of New South Wales.e-mail: S.doyle@unsw.edu.au Journal of Economic Literature Classification Numbers:D91;G18.
185Rusconi.R.(2008)“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing,
187由于相关商业年金保险发展的资料和数据很难获得,这里主要参考了北京大学中国保险与社会保障研究中心课题“中国社会保障制度研究”中的“商业养老保险”部分资料(该部分由对外经济贸易大学王国军教授执笔),参见:孙祁祥,郑伟等著.中国社会保障制度研究——社会保险改革和商业保险发展[M].北京:中国金融出版社,2005:179-206.
188此次调查于2006年9月至11月进行,调查对象是1700名年龄24岁以上、年收入水平在6万元至50万元人民币的各行各业人士。资料来源:渣打银行调查报告-个人养老市场潜力巨大[N].中国证券报,2007年8月19日。
190拉美四国(阿根廷、智利、哥伦比亚和秘鲁)的资料来自于:Rober Palacios & Rafael Rofman(2001),“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
191向贵朗.论我国寿险业发展前景[J].西南金融,2008(7):56-57.
192孙凤华,蔡秋杰.人均GDP1000美元前后国际寿险需求的比较[J].保险职业学院学报,2008(4):19-24
193其他的研究也有类似的分析结果。著名发展经济学家、1979年诺贝尔经济学奖得主刘易斯(Lewis)曾利用63个国家和地区以及23个发达国家1980-1996年间的统计数据,通过对数线性回归模型研究了人均收入、人口结构、教育水平与城市化率等与保险市场发展水平(保险深度、保险密度)关系,结果显示人均收入对保险市场发展有明显正影响。见李扬.中国金融发展报告N0.2,2005[R].北京:社会科学文献出版社,2005。这样的分析文献还有很多,例如卓志.我国人寿保险需求的实证分析[J].保险研究,2001;杨舸等.我国寿险需求的实证分析[J].中国软科学,2005(5):50-54。
194见苗复春等主编.县域保险发展研究报告[M].中国财政经济出版社,2006:68。
196朱俊生,庹国柱.关于企业年金几个基本理论问题的探讨——第二届中国社会保障论坛文集“建立覆盖城乡的社会保障体系”,中国劳动社会保障出版社,2007.
197可决系数R 2 =0.95,标准差St. =0.29,协方差Cov. =0.20。详见胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
198资料来源:Jean-Jacques Gollier.“Private Pension Sytems”, Private Pension Systems and Policy Issues,No.1,OECD 2000,P259,转引自胡秋明和赖柳柳(2006)。
199根据2008年《中国统计年鉴》显示,至2007年底,城乡就业人员总计为76990万人,而当年参保的就业人员为15183.3万人,两者之差为未参保人就业人员61807万人。
200张明.20世纪90年代以来关于储蓄率研究的最新动态[J].世界经济,2007(4):86-95.
201 Feldstein,Martin(1974).“Social Security ,Induced Retirement and Aggregate Capital Accumulation”Journal of Political Economy 82 No.5 (September/October 1974):905-26.
202 Feldstein,Martin(1996).“Social Security and Saving: New Time Series Evidence”. National Tax Journal Vol 49 no. 2(June 1996) PP.151-164.
203徐滇庆等.“各国储蓄率相差悬殊中国高企持续多久”[N].南方周末,2005年6月2日。
204郑杭生,李路路,等.当代中国城市社会结构[M].北京:中国人民大学出版社,2004:169。
205 2007年城镇分行业就业劳动者人口为2.65亿人,按分行业劳动报酬平均水平计算,月劳动报酬收入少于2000月的为5386万人。
206例如,天津滨海新区保险改革试验区的天津滨海补充养老保险试点中,企业为职工购买补充养老保险的费用支出在本企业上年度职工工资总额8%以内的部分,可以在企业所得税前扣除。补充养老保险的个人交费部分则可在个人工资薪金收入30%以内的部分,在个人所得税前扣除。由于国家税务总局对试点中的“30%税前列支”的个人税收优惠政策存在异议,涉及个人税收优惠这块的试点工作于2008年8月被叫停。但就在叫停通知下发仅三天后,天津市财政局和天津保监局又联合发文,连推三项财税优惠举措。天津财政局和天津保监局联合下发的《关于天津滨海新区试点补充养老保险有关财税优惠政策的通知》,主要涉及三项针对在津保险公司开展补充养老保险业务的财税优惠举措,主要体现在返还一定比例的营业税和企业所得税,其中一项将直接惠及到个人投保者。资料来源:黄蕾.应对个人税优叫停,天津财政“曲线”鼓励补充养老险[N].上海证券报,2008-9-23。
207郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P98
208郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P42
209人力资源和社会保障部:“2008年劳动和社会保障失业发展统计公报”。
210郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P45-57.
211郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P59-61.
212胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P32
213 OECD(2007)“Closing the Pensions Gap:The Role of Private Pensions”OECD’s Working Paper。
214 Oonagh McDonald(1999).“Income in Retirement :Are Annuities the Answer?”Association of Unit Trusts and Investment Funds,1999
215即1997年7月16日颁布的《关于建立统一的企业职工基本养老保险制度的决定》。
216即2000年12月25日颁布的《关于印发完善城镇社会保障体系的试点方案的通知》。
217即2005年12月3日颁布的《国务院关于完善企业职工基本养老保险制度的决定》。
219彭浩然,申曙光.强制性个人账户养老金计发办法改革对替代率影响的实证研究[J].当代财经,2007(3):58-60.
220刘昌平.养老保险个人账户基金治理结构与监管模式研究[J].上海金融,2007(10):49-52
221彭雪梅.对企业年金在中国养老保险体系中定位的再认识[J].财经科学,2004(12):12-15
222胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
223郭琳.中国养老保障体系变迁中的企业年金制度研究[M].北京:中国金融出版社,2007
224林义等.企业年金的理论与政策研究[M].西南财政大学出版社,2006.27
225中国社会科学院拉美研究所研究员郑秉文对两种账户的性质进行了清晰界定。他认为,基本养老保险个人账户资金的性质与企业年金账户资金虽然都具有强烈的私有性,但还是存在本质的区别:前者是国家举办的强制性基本保险,,国家应承担一定的补偿责任,应建立一定程度的补偿机制,制定一套相应的政策,对投资机构国家要做出一定的制度安排,对受益水平应承担一定财政责任。而企业年金则不完全如此,按照国际惯例,企业年金作为自愿型补充保险,应完全进行市场化营运;作为DC型信托制,目前阶段无须建立官方的补偿机制。鉴于此,养老金管理公司的任务应是专营企业年金资产,基本养老保险账户资金应由中央政府另行单独制定投资管理政策, 在管理营运上不应与企业年金合二为一。在监管方面,从长期来看,社保基金与企业年金的监管应该分开监管,前者带有强烈的财政属性,而后者带有明显的金融属性,前者主要还属于公共部门,国家要承担相当的责任,后者则主要属于私人部门,主要靠市场机制。参见郑秉文.企业年金受托模式的“空壳化”及其改革的方向[J].社会保障世界,2008。
226例如,武汉大学社会保障研究中心邓大松和刘昌平曾提出,对基本养老金个人账户应采用强制年金化的政策,理由是:一方面基本养老金提供替代率为60%的基本社会保障,另一方面,自愿年金市场存在较大程度的逆选择,减少逆选择的可行方式就是实行强制年金。参见邓大松,刘昌平.受益年金化:养老金给付的有效形式[J]财经科学,2002(5)。此外宗世斌等人意识到基本养老金个人账户存在资金缺口问题,也提出年金化的建议。参见宋世斌,冯羽,彭俊.养老保险个人账户调整的分析[J].宏观经济研究,2006(7)。
227 Tversky, A. and D. Kahneman. 1992. Advances in Prospect Theory: Cumulative Representation of Uncertainty. Journal of Risk and Uncertainty 5: 297-323.
228 Wei-Yin Hu and Jason S.Scott(2007)“Behavioral Obstacles to the Annuity Market”PRC WP2007-10 Pension Research Council Working Paper. The Wharton School ,University of Pennsylvania.
229有学者也提出了在美国存在收入与死亡率(寿命)之间存在强关联的证据,参见Lillard and Panis, "Income and Mortality" (draft, RAND, December 1996)
230郑秉文.账户资金市场化投资是大势所趋[N].中国证券报,2007年3月12日。
231胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
232 American Academy of Actuaries(2001).“Annuitization of Social Security Individual Accounts”Issue Brief.
233 E Philip Davis(2002).“Issues in the Regulation of Annuities Markets”.Brunel University West London.18th October2002.
234例如英国2000年销售年金的ABI成员公司有42家,到2006年减少为36家。这36家中,有14家市场份额都在1%以上,有16家每家市场份额都在0.5%之下,而最大10家的总和市场份额占89%。参见Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008。智利的年金提供者因市场竞争激烈也在减少。
235 Fiona Stewart(2007).“Policy Issues For Developing Annuities Markets”.OECD Working Paper On Insurance and Private Pensions No.2 , January 2007。
236 David Blake(1999)“Annuity Markets:Problems and Solutions”. The Geneva Papers on Risk and Insurance Vol.24 No.3(July 1999)358-375.
237长寿债券的期限一般较长,债券返利是每年根据一个人口寿命相关指数来确定,该指数是用债券发行时65岁男性老人数和在以后每个给付日时仍生存的人数来表示。被指数“盯住”的老人群体人数是逐年递减的,因此债券的给付额也会递减。
238 E Philip Davis.“Issues in the Regulation of Annuities Markets”.Brunel University West London.18th October 2002.
239吴定富主编.中国保险市场发展报告[M].电子工业出版社,2008,p109.
240 Jeffrey B.Lieman & Harvard University“the role of annuities in a Reformed U.S. Social Security System”. 2002-17
241 Edward Palmer(2009).“The Swedish Annuity Market: Where it Is and Where It’s Headed”.writer’s Draft, January 8,2009. Uppsala University
242 PPM(或PPA)也是国内养老基金公司的管理机构,要接受公共计划下真实个人账户基金投资管理业务的养老基金公司必须在PPM注册登记,PPM也作为投保人和养老基金管理公司的精算所(cleaning house),为每个参保人的个人账户投资业务办理清算服务。
243 Palmer,Edward.(2000)“The Swedish pension reform model :framework and issues”World Bank Discussion paper series. http://www.oecd.org/dataoecd/63/51/2638200.pdf. 244
245资料来源:Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO)
246 Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO) http://www.cbo.gov/ftpdocs/3xx/doc348/ssannmkt.pdf
247郑秉文.中国企业年金何去何从[J].中国人口科学,2006(2):2-20。
248邓大松,刘昌平.中国社会保障改革与发展报告[M].人民出版社,2008。
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[204]. Murthi, Mamta, J. Michael Orszag, and Peter R. Orszag. 1999a. "The Value for Money of Annuities in the U.K.: Theory, Experience, and Policy." Mimeo, Birkbeck College, London.
[205]. Estelle James & Xue Song(2001)“Annuities Markets Around the World Money s Worth and Risk Intermediation”CeRP’s working paper,16/2001.
[206]. Doyle, Suzanne, Olivia Mitchell, and John Piggott. 2001. "Annuity Values in Defined Contribution Retirement Systems: The Case of Singapore and Australia," NBER Working Paper 8091, Cambridge, MA.
[207]. Mithchell ,Olivia,James Poterba, Mark Warshawsky and Jeffrey Brown,1999.“New Evidence on the Money’s Worth of Individual Annuities”, American Economic Review.89(5),1299-1318.
[208]. Brown,Jeffrey R.,Olivia S.Mitchell and James M.Poterba.2000.“Mortality Risk, Inflation Risk, and Annuity Products.”NBER Working paper 7812.
[209]. Poterba,James and Mark Warshawsky.2000.“The Costs of Annuitizing Retirement Payouts from Individual Accounts.”
[210]. Brown,Jeffrey R.2000.“Differential Mortality and the Value of Individual Account Retirement Annuities.”NBER Working Paper No.7560.
[211]. .G.A.Mackenzie and Allison Schrager,“Can The Private Annuity Market Provide Secure Retirement Income?”,IMF Working Paper ,04/230.
[212]. Warshawsky, Mark J., Brenda Spillman and Chris Murtaugh. 2002.“Integrating the Life Annuity and Long-term Care Insurance: Theory, Evidence, Practice, and Policy”In Zvi Bodie, Brett Hammond, andOlivia S.
[213]. Brugiavini, A.(1993),“Uncertainty Resolution and the timing of individual annuity purchases”Journal of Public Economics,vol.50,January ,pp.31-62.
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[215]. Bateman ,H.and Piggott, J. (1997),‘Mandatory retirement saving: Australia and Malaysia compared’, in Valdes-Prieto, S. (ed), The Economics of Pensions: Principles, Policies, andInternational Experience, Cambridge University Press.
[216]. Bateman ,H.and Piggott, J. (1999)‘Mandatory retirement saving policy: the Australian experience’, Geneva Papers on Risk and Insurance: Issues and Practice, vol. 24, no. 1, January 1999, pp. 95-113.
[217]. Walliser, J.(1999). Regulation of Withdrawals in Individual Account Systems.International Monetary Fund Working Papers 99/153.
[218]. Jason S.Scott,John G.Watson, and Wei-Yin Hu(2006).“Efficient Annuitization with Delayed Payout Annuities”.
[219]. James E and Song X(2002),“annuities markets around the world: money’s worth and risk intermediation”, mimeo, the World Bank.
[220]. Davis E P (2002c),“Pension fund management and international investment– a global perspective”, Discussion Paper 02-05, Pensions Institute, Birkbeck College, London.
[221]. Blake D, Burrows W and Orszag J M (1999),“Survivor bonds; reducing the cost of pension provision”, Working Paper 99-10, Pensions Institute, Birkbeck College, London.
[222]. Rule D (2001),“Risk transfer between banks, insurance companies and the capital markets; an overview”, Bank of England Financial Stability Review, December 2001, 137-159.
[223]. Wolfram J.Horneff,Raimond H.Maurer,Olivia S.Mitchell, and Michael Z.Stamos.“Money in Motion: Dynamic Portfolio Choice in Retirement”Pension Research Council Working paper 2007-07 .the Wharton School,University of Pennsylvania..
[224]. Blake, David, 1999, "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance—Issues and Practice, Vol. 24, No. 3 (July).
249Salvador Valde-Prieto.“Risks in Pensions and Annuities:Efficient Designs”Human Development Network Social Protection Group ,The World Bank, February 1998.
250 Dr.Moshe Arye Milevsky(1996).“optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize?”Schulich School of Business Finance Area ,York University ,Ontario ,Canada, M3J 1P3.
251 Mose A.Milevsky & Virginia R.Young(2005).“The timing of annuitization: investment dominance and mortality risk”York University and University of Michigan.
254胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P7。
255该计划推出的背景是,劳工党政府于1999年4月颁布了最低收入保证(MIG)政策,为低收入退休者提供最低收入保障,作为对BSP计划的一个补充。从2001年4月起,这种最低收入标准是每人每周92.15英镑和夫妇二人每周140.55英镑。政府考虑到了这种MIG政策将可能不利于刺激个人储蓄,同时又推出养老金信用(pension credit)计划,并于2003年生效。该计划向参与储蓄计划的低收入者承诺,其收入的60%将在BSP与MIG之间。
256英国税务局对职业养老金计划可免税的缴费金额有一定限制。对于50岁以下的雇员,其缴费比例不超过个人净相关收入(不包括雇员的加班费用、奖金的工资性收入)的50%。如果加上雇主的缴费,则合计缴费数不能超过净相关收入的17.5%,这个合计数里可包括不超过5%的“死亡恤金”。对于超过50岁的雇员,其缴费比例可高些,例如51-55岁,最高为20%;56-60岁,最高为22.5%;61-74岁,最高为27.5%。资料来源:David Blake(1995).“pension Schemes and Pension Funds in the United Kingdom”.p.87,Clarendon Press,Oxford.转引自胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P90。
257胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P87-95。
258在1988年前,就出现了一个可供于自我雇用者个人购买的类似养老计划.
259胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P32
260 Http://www.thepensionsregulator.gov.uk/stakeholderpensions/general/general-01.aspx#stake.
261详细内容参阅:胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P92-95.
262 Wadsworth,Findlater, and Boardman(2001).
263 Department of Social Security,2002,Cm 5677,pp.51-52.完全采用DC计划的占50%。大型雇主已经转向了DC计划,至少对于计划的新加入者是如此。然而,尽管向DC制转变的过程在继续,但是转变的动作还比较缓慢。还有一份1998年出版的调查(即Towers Perrin百家公司调查)显示,38家公司已经执行的某种形式的DC计划,涉及的参保人有35万人,涉及的职业非常广泛,包括酒店休闲业;高技术和电子业;石油和采掘业;医疗和金融服务业等。另外的62家公司还没有提供DC计划,但是有12家正积极考虑转向DC计划,其余的还在考虑具体的选择。参看Oonagh McDonald(1999).“Income in Retirement :Are Annuities the Answer?”Association of Unit Trusts and Investment Funds,1999.p6.
265有一点需要引起注意的是,英国的职业养老金计划作为一种自愿性计划,采用何种受益模式,在政策上并没有像有些国家一样作出强制规定。有些雇主对年轻雇员才加入计划之初,只提供了DC模式,但是在以后职业阶段,可能会允许转向DB模式。对于忠诚的、核心员工,雇主仍将DB计划作为了人事激励手段。
266当时在超年金基金公会、国民养老基金协会(NAPF)的压力下,国内税务局同意雇员向养老信托基金的缴费可享受税优政策(EET)。后来EET被推广到了所有养老金计划,包括自雇者养老金计划。但由于养老基金收入需计税(包括对从寿险公司购买的年金本金和收益征税),而一次性提款则不用计税,这种税制安排使得人们纷纷选择一次性提款以避税。一次性领款最终让各方管理部门感到不满意而受到限制:一是税务部门感到不满意,因为一次性领款减少了税源;二是养老金管理部门也不满意,因为一次性领款不利于切实提供养老保障。在英国,信托基金通常提供养老年金,接受1921年的《金融法》管制,超年金基金公会就非常赞同利用《金融法》的税收豁免条款,来限制一次性提款。这些因素最终促成1921年的《金融法》建立了养老金税收框架,开始限制一次性领款,并使之成为一个惯例,这样在英国,强制年金化就出现了。英国强制年金化政策的详细介绍可参看Oonagh McDonald(1999).“Income in Retirement :Are Annuities the Answer?”Association of Unit Trusts and Investment Funds,1999.
268这种规定多次出现在Millard-Tucker委员会报告、1954年和1956年的“金融法”中。当时的金融法向自雇者的退休年金合同提供了税收减免政策,这一政策在1989年的“收入和公司税法”(Income and Corporation Taxes Act,1989)再次被提到。这一时期,男性平均寿命已经大大延长,而平均寿命延长导致资本损失会提前三年出现,因而强制购买年金这一规定就被提出来。可见强制性年金化的提出原因之一也是为了解决当时因平均寿命延长而导致储蓄年金计划的财务可持续问题。参见Oonagh McDonald(1999).p4
269 Mamta Murthi,J.Michael Orszag and Peter R.Orszag(1999).“the Value for Money of Annuities in the UK: Theory ,Experience and Policy”
270实际上,英国大部分个人账户都是通过寿险公司或寿险工具承保的,从这些寿险公司或工具,退休者也可以获得退休年金。
271但有一个例外,如生命损害年金(life-impaired annuity)所获得的宽免税好处就比较少,因为缴费资本与普通年金是一样的,但是这种年金提供的给付收入则比普通年金要高。
272见http://www.smf.co.uk/welfare-reform.html
273 Rob Ruscon(i2006),“The demand for annuities :international evidence and implication for Turkey’s Private pension system”presented to the OECD/IOPS Global Forum on Private Pensions ,Istanbul, 7-8 November 2006.
277 Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008.
278见Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318转引U.K. Department of Social Security,2002,Cm 5677,pp.87-88。
279这种巨大差异可以反映出三个问题:一是强制性政策是年金市场发展的一个主要方式,可能也是一种必需的方式;二是强制性政策应该给自愿性年金市场带来了一定挤出效应,但这一点对于年金市场发展本身来说并不重要;三是自愿年金市场可以视为对强制性市场的一种补充,这种补充也是必要的。
282 Cardinale, Mirko, Alec Findlater, and Mike Orszag, 2002, Paying Out Pensions: A Review of International Annuity Markets. Watson Wyatt Research Report, 2002-RU07.
283关于英国人口死亡率的阶层差异可参看Coleman and Salt(1992);于英国公务员的收入和死亡率经验的讨论参看Michael Marmot, George Davey Smith, Stephen Stansfield, Chandra Patel, Fiona North, J. Head, Ian White, Eric Brunner, and Amanda Feeny (1991),“Health Inequalities among British Civil Servants: The Whitehall II study”, Lancet, June 8, pages 1387-93
285 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318.转引Cannon and Tonks(2004b)。
288美国职业养老金的详细框架请参见郭琳.中国养老保障体系变迁中的企业年金制度研究[M].中国金融出版社,2008.P166。
289银行和节俭储蓄包括基奥(Keogh)储蓄。
290“寿险公司”中IRA资产是IRA持有的年金资产,不包括共同基金管理下的变额年金资产。
291经纪账户中证券不包括经纪账户持有的共同基金资产,这部分资产计算在共同基金中。
292根据早期文献(James,1947)的介绍,这些公司也是向穷人、生活窘困的教徒及其遗孀、孩子提供救济的组织,为他们提供生存保障。参见.James M.Poterba(2001).“Annuity Markets and Retirement Security”.CRR WP 2001-10,Center for Retirement Research at Boston College. http://www.bc.edu/crr.
293 .James M.Poterba(2001).“Annuity Markets and Retirement Security”.CRR WP 2001-10,Center for Retirement Research at Boston College. http://www.bc.edu/crr.
294例如,1900-1902年的一个25岁人平均余命为39.1年,如果从出生日算起,当时一个人的平均寿命在在64岁以下。现在的水平是,在2004年,25岁人的平均余命上升到54年。数据来源:http://www.prlog.org/10093268-rising-life-expectancy-driving-us-annuity-market-towards-11-growth.html
295 20年代早期,美国就有寿险公司(如美国团体年金市场的先驱——美国大都会寿险公司)就开始涉足公司DB养老计划业务。一战后,寿险公司开始签发大公司的团体寿险、健康险和伤残险保单,而向雇员提供终身年金就是这些业务的自然拓展。早期大部分公司养老金计划采用的是现收现付制(PAYG),公司利用当期缴费收入向退休者支付养老金金。1921年,大都会寿险公司开始承接管理公司养老金计划的小额合同业务,向在职雇员收缴保费,向退休雇员发放养老金。1925年大都会自己设计退休养老金计划,开始在1927年将团体年金推向市场,营业第一年,卖出的团体年金合同仅30来份,受保人数不足40,000人。
296 Mark Warshawsky.“Private Annuity Markets in the United States:1919-1984”Jouanal of Risk and Insurance. VoL.55,NO.3,(Sep.,1988),pp.518-528。
297 James M.Poterba(2001).“Annuity Markets and Retirement Security”.CRR WP 2001-10,Center for Retirement Research at Boston College. http://www.bc.edu/crr
298但是对这种解释有人提出了异议,参见Mark Warshawsky.“Private Annuity Markets in the United States:1919-1984”Jouanal of Risk and Insurance. VoL.55,NO.3,(Sep.,1988),pp.518-528
300这些统计数据是指变额年金新保单的销售额,而不是变额年金的净购买量。在许多情形下,新的非适格保单销售就是行业中所谓的税法的1035条款“互换”引起的,根据Cerulli Associates(2003)的行业研究,1035条款互换业务占了行业销量的主要份额。而根据2001年的销售预计,新业务销量不足总销售量的20%。虽然变额年金的总销售量从1995年到2000年得到急剧增长,但是变额年金的新销量带来的收入是越来越小。“1035互换”业务上涨说明该行业内各个公司之间争夺现有市场的竞争在加大,而事实上针对新客户的年金销量却正开始萎缩。Jeffrey R.Brown & James M.Poterba(2004),“Household demand for variable annuitites”. CRR WP 2004-08
301Jeffrey R.Brown & James M.Poterba(2004)认为个人变额年金需求增加可能有三个方面的原因:(1)财富积累可获得可观的税后回报率。利息、红利和资本收益只有在领取年金时才计税。这类似于个人退休账户(IRA)和401(k)计划的延税待遇。Gentry & Milano(1998)研究了税收是如何影响年金需求的,他们使用了不同地区(州)所得税的差异和1984-1993年之间联邦税率的时间序列变化数据,发现变额年金的总销售规模在边际所得税率高的州要比边际所得税率低的州要大,这意味着变额年金购买的部分意图就是要避开传统课税账户的投资税负。(2)变额年金提供不同形式的保险,即如果保单持有人退休前死亡,其后嗣至少可以领取到保单供款的名义价值。Milevsky & Posner(2001)利用风险中性选择定价模型计算了死亡给付金有最低保证的变额年金的价值,他们发现,保费退回性死亡给付金只占本金的1-10个百分点,于是一个疑问是,消费者购买这些产品,在多大程度上是基于年金积累期间的保险功能?很遗憾,现在还没有相关的经验研究来探讨投资者的特征,例如,个人自我认为是风险厌恶者是否就能用来解释变额年金需求问题。(3)持有变额年金的第三个动机就是可以转换成终身年金,并由此提供退休期间的年金化收入,年金支付与多样化投资组合绩效挂钩。Brown,Mitchell and Poterba(2001)就探讨了经典生命周期模型中的年金需求问题,他们认为大部分消费者会发现至少将退休组合的一部分投入到股权关联性年金产品上也会带来福利改进。实际上,在退休期间将变额年金产品转换成终身年金的情形在过去好像是非常少见的。参见文献:Jeffrey R.Brown & James M.Poterba,“Household demand for variable annuitites”. CRR WP 2004-08。
304许多寿险也提供了“保证性死亡给付金”,但这种做法容易导致逆选择发生,参见肯尼斯·布莱克.人寿与健康保险[M].经济科学出版社,2003,p177.
306 William M.Gentry & Joseph Milano,“Taxes and Inverstment in Anuuities”Working Paper 6525. National Bureau of Economic Research ,April 1998.
307变额年金和共同基金投资的税后收益在不同税收假设下的比较可参见Toolson,Richard B.1991.“Tax-advantaged Investing:Comparing Variable Annuities and Mutual Funds”Journal of Accountancy, May,vol.171,no.5,pp.71-77
308一些公司例如Scudder(见Lavine 1993)为吸引将年金作为一种流动形式的投资的老投资客户,提供的VA中就没有包含退保费。
309 Savita,Eric J.1992.“too close to call? How annuities stack up against mutual funds”Barron’s, April 27, PP .M17-M18.
310 William M.Gentry & Joseph Milano,“Taxes and Inverstment in Anuuities”Working Paper 6525. National Bureau of Economic Research ,April 1998.
311当然,这些数据肯定低估了变额年金合约将来转成终身年金合约的比重,因为在任何一个时点上,这些变额年金合约大都还处在工作期间的积累阶段。
312 Reno, V.P.,Graetz,M.J., Apfel,K.S.,Lavery,J.and Hill, C.,EDS.(2005). Uncharted Waters: Paying Benefits from Individual Accounts in Federal Retirement Policy. Study Panel final Report, January .Washington DC:National Academyof Social Insurance.
313 Brown, Jeffrey R. and Mark J. Warshawsky. 2001.“Longevity-Insured Retirement Distributions from Pension Plans: Market and Regulatory Issues.”NBER Working Paper no.w8064. Cambridge, MA: National Bureau of Economic Research
314 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002
315 Brown, Jeffrey R., Olivia S. Mitchell, and James M. Poterba, 2002, Mortality Risk, Inflation Risk and Annuity Products. In Mitchell, Olivia S., Zvi Bodie, P.Brett Hammond, and Stephen Zeldes eds.: Innovations in Retirement Financing (The University of Pennsylvania Press, Philadelphia, Pennsylvania.).
317 Reno, V.P.,Graetz,M.J., Apfel,K.S.,Lavery,J.and Hill, C.,EDS.(2005). Uncharted Waters: Paying Benefits from Individual Accounts in Federal Retirement Policy. Study Panel final Report, January .Washington DC:National Academy of Social Insurance.
318在美国,中等收入家庭20%的资产是体现在房产上。虽然一个家庭可能利用房产销售收入购买年金合同将其房产年金化,但是很多退休者并不愿意这么做,因为拥有房产既能提供财务安全,又能够与熟悉的邻居生活在一起。除了出售和租赁外,家庭能够利用房产获得反抵押贷款。反抵押贷款有一个租期选择,只要房主还居住时,提供反抵押贷款业务的机构会每月向房主提供收入,如果房子卖出,售房收入用于偿还贷款;如果收入高出贷款价值,则剩余部分留给房主或其继承者,但是反抵押贷款市场目前不大。见Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO) http://www.cbo.gov/ftpdocs/3xx/doc348/ssannmkt.pdf
319商业年金保单提供的给付金不像社会保障那样具有明显通胀风险保障功能。私人年金提供的是固定的名义收入(即非参与性定额年金),收入根据投资绩效表现而变化(变额年金),或者两者都有(定额的、参与性年金)。非参与性名义定额年金因为名义收入是不变的,显然不能保护通货膨胀,其真实价值下降率等于通胀率。在美国,TIAA就提供有阶段式定额和参与性年金(graded fixed and participating annuity),如果TIAA投资组合收益超过4%,给付水平每年提高,只要通胀率小于年金给付水平的上涨率,这种年金能够提供通胀风险保障。但是阶段式年金不能消除意外的高通货膨胀风险。变额年金在一定程度上具有通胀风险保障功能,因为投资收益会与通货膨胀水平同步变化。变额年金面临的通胀风险问题会不那么严重。但是,财政部最近发行了5年、10年期的通胀指数化债券,据此保险人可以支持发行通胀性指数化年金。如果财政性债券的到期日更长,保险人也更有积极性提供指数化年金。CREF在其产品组合中也增加了通胀指数化年金。参见Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO)。
320 Brown, Jeffrey and Mark Warshawsky (2001).“Longevity-Insured Retirement Distributions from Pension Plans: Regulatory and Market Issues,”NBER Working Paper No. 8064, Cambridge, MA.
321详细内容请参看Brown, Jeffrey and Mark Warshawsky (2001).“Longevity-Insured Retirement Distributions from Pension Plans: Regulatory and Market Issues,”NBER Working Paper No. 8064, Cambridge, MA.
322参见:Jeffrey B.Lieman & Harvard University“the role of annuities in a Reformed U.S. Social Security System”. 2002-17.
328Bütler, M & M Ruesch (2007),“Annuities in Switzerland”, World Bank Policy Research WorkingPaper 4438, December
329 Bütler, M and F Teppa (2005).“Should You Take a Lump-Sum or Annuitize? Results from SwissPension Funds”, Working Papers.
332 Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO) http://www.cbo.gov/ftpdocs/3xx/doc348/ssannmkt.pdf
333 UF是unidades de fomento的简写形式,它是与物价挂钩的一种账户单位,广泛适用于账户和税收系数的估值中,其价值相当于半月社会平均工资。
334即个人账户的投资回报率不能低于:过去三年同类型基金的真实平均年回报率中的最小值,再减去200个基本点,或者50%的真实平均年回报绝对值。
335但是学者认为,目前全面评估这种改革带来的潜在影响还为时过早。但无论怎么样,这项政策退休不久,第三支柱的缴费已经从2001年的第二季度的900万美元增加到2002年第二季度的1300万美元。Roberto Rocha, Marco Morales and Craig Thorburn(2006).“an Empirical Analysis of the Annuity Rate in Chile”World Bank Policy Research Working Paper 3929.
336 2004年智利人口1609万,根据联合国的人口统计,现在智利的老年抚养比为11%,智利老人人数大概在160万以下。智利老人购买年金保险的比例是比较高的,大概在20%以上,而在养老金系统中退休的老人购买年金保险的比例则超过了60%。
337 Roberto Rocha, Marco Morales and Craig Thorburn(2006).“an Empirical Analysis of the Annuity Rate in Chile”World Bank Policy Research Working Paper 3929
338 Roberto Rocha and Craig Thorburn(2007).“Developing Annuities Markets :the experience of Chile”The Work Bank.
340参见文献OECD(2008).“forms of benefit payment at retirement”DAF/CMF(2008)25..contract author:Pablo Antolin ,Email: pablo.antolin@oecd.org .
342 Martin Hering, Michael Kpessa (2006)“Private pensions and Income Security in old age: An Uncertain Future-Conference Report”,SEDAP Research Paper No.180. http://socserv.mcmaster.ca/sedap/ConfpresNov2006.htm.
344 Martin Herping & Michael Kpessa.“Private Pensions and Income Security in Old Age An Uncertain Future—Conference Report”SEDAP Research Paper No.180 March 2007
346澳大利亚超年金的历史可详见:APRA(2008).“A recent history of superannuation in Australia”. www. apra. gov.au.
348 http://www.apra.gov.au/Statistics/upload/June-2007-Annual-Superannuation-Bulletin.pdf
349中国保监会.养老保险国别研究及对中国的启示[M].中国财政经济出版社,2007.p99
351 Amandha Ganegoda(2007).“Explaining the Demand for life annuities in the Australia Market”Centre for Pensions and Superannuation(CPS) Discussion paper. 05/2007
354 Amandha Ganegoda(2007).“Explaining the Demand for life annuities in the Australia Market”Centre for Pensions and Superannuation(CPS) Discussion paper. 05/2007
355 Cardinale, Mirko, Alec Findlater, and Mike Orszag, 2002, Paying Out Pensions: A Review of International Annuity Markets. Watson Wyatt Research Report, 2002-RU07.
356 Amandha Ganegoda(2007).“Explaining the Demand for life annuities in the Australia Market”Centre for Pensions and Superannuation(CPS) Discussion paper. 05/2007
359 Knox, David. The Australian Annuity Market. 2001. Washington, World Bank.Policy Research Working Paper.
360 Doyle, Suzanne, Mitchell, Olivia S., and Piggott, John. Annuity Values in Defined Contribution Retirement Systems: The Case of Singapore and Australia. 2001. Pensions Research Council. Pensiions Research Council Working Papers.
361例如,澳大利亚没有开发自己国家的年金受益人死亡率表,而使用的是英国经验表;一般也没有使用再保险。
362 Suzanne Doyle, Olivia S.Mitchell.John Piggott(2004).“Annuity Values in Defined Contribution Retirement Systems: Anstralia and Singapore Compared”. School of Economics University of New South Wales.e-mail: S.doyle@unsw.edu.au Journal of Economic Literature Classification Numbers:D91;G18.
363张乐.“印度社会保障体现概述”[J].南亚研究季刊,2006(2):112-119
367 Estelle James & Renuka Sane,“The Annuity Market in India: Do Consumers Get Their Money’s Worth? What are the Key Public Policy Issues?”in Rethinking Pension Provision for India, ed. Anand Bordia and Gautam Bhardwaj, New Delhi; Tata McGraw-Hill Publishing Company, 2003.
368 Yermo J (2001)“Private annuities in OECD countries”, in“Insurance and private pension compendium for emerging economies”, OECD, Paris.
369.E Philip Davis Brunel University,“Issues in The Regulation of Annuities Markets”paper pre sented at the conference “Developing an Annuity Market in Europe”June 21-22,2002.
370 http://www.stats.gov.cn/tjsj/qtsj/gjsj/2007/t20080630_402489050.htm.
②Adam Creighton, Henry Hongbo Jin, John Piggott and Emiliano A.Valdez(2005),“Longevity Insurance: A Missing Market”Journal of Economic Literature .Classification Numbers:D91;G18
③资料来源: http://www.oecd.org/dataoecd/47/10/41941763.pdf
④年金产品包括保险类年金、分红类年金、投资连接类等,由于统计上没有将这些年金保费收入予以明确区分,所以还不清楚保险类年金保费收入到底有多少。通过对年金市场的观察,我们判断保险类年金即养老年金保险保费收入在上述统计数据中所占比例不会很大。
⑤stekke James and Dimitri Vittas“The Decumulation(Payout) Phase of Defined Contribution Pillars:Polivy Issues in the provision of Annuities and Other Benefits”The World Bank’s Working paper,October 2000.
⑥肯尼斯·布莱克、哈罗德·斯基博,人寿与健康保险(13版)[M].经济科学出版社2003
⑦原文是:“a yearly payment of a certain sum of money granted to another in fee, for life or years, charging the person of the grantor only”.引自Edwin W.Kopf,“the early history of the annuity”http://www.casact.org/pubs/proceed/proceed26/26225.pdf
⑧方明川.商业年金保险理论与实务[M].首都经济贸易大学出版社,2000,第50页。
⑨在国外的文献中,我们发现“年金”(annuity)和“养老金”在概念使用上是比较严谨的,很少用“年金计划”来代替“养老金计划”。
⑩Cardinale, Mirko, Alec Findlater, and Mike Orszag, 2002, Paying Out Pensions: A Review of International Annuity Markets. Watson Wyatt Research Report, 2002-RU07.
11 E Philip Davis,“Issues in The Regulation of Annuities Markets”paper pre sented at the conference“Developing an Annuity Market in Europe”June 21-22,2002.
12 Rober Palacios & Rafael Rofman(2001),“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
13 OECD(2007)“Closing the Pensions Gap:The Role of Private Pensions”,OECD‘s working paper.
14 Ando, Albert and Franco Modigliani. 1963.“The Life Cycle Hypothesis of Saving.”American Economic Review.53(1): 55-74.
15 Modigliani, Franco. 1986.“Life Cycle, Individual Thrift, and the Wealth of Nations.”American Economic Review.76 (3): 297-313.
16 Yaari,M.E.,1965.“Uncertain Lifetime, Life Insurance, and The Theory of the Consumer.”Review of Economics Studies,Vol.32,pp.137-150.
17 Kingston, G. and Piggott, J. (1999)“The Geometry of Life Annuities,”The Manchester School 67: 187-191.
18 Panis, S. (2003),“Annuities and Retirement Satisfaction”, paper presented at Developments in Decision-Making Under Uncertainty: Implications for Pensions, hosted by The Pension Research Council, Wharton, April 28-29.
19 Davidoff, D. Brown, J. and Diamond, P. (2003),“Annuities and Individual Welfare”, Pensions Institute Discussion Paper 03-07.
20 Gardner, J. and Wadsworth, M. (2004),“Who would buy an annuity? An empirical investigation”, Watson Wyatt Technical Report, March.
21 Mirko Cardinale, Alec Findlater & Mike Orszag“paying out Pensions: A Review of international Annuities Markets”Watson Wyatt LLP, May 2002.
22 Rowena .Pecchenino & Patricia S.Pollard,“The Effects of Annuities,Bequests, and Aging in an Overlapping Generations Model of Endogenous Growth”Working paper 1995-008B
23 Susanne Pech,“Portfolio Decisions on life annuities and financial assets with longevity and income uncertainty”Working paper No.0414 December 2004.
24 Rothschild, Michael, and Joseph Stiglitz. 1976. "An Essay on the Economics of Imperfect Information." Quarterly Journal of Economics 90, 629-649.
25 James, E. and Vittas, D. (1999)“The Decumulation (Payout) Phase of Defined Contribution (DC) Pillars: Policy Issues in the Provision of Annuities and Other Benefits”, Development Research Group, World Bank, available online at
26 Friedman,Benjamin M, and Mark Warshawsky,1988,“Annuity prices and saving behavior in the United States”.“The cost of annuities: implications for Saving Behavior and Bequests”Quarterly Journal of Economics vol.105.1,pp 135-154.
27 Blake D and Hudson R(2000),“improving security and flexibility in retirement: full technical report”Retirement Income working party ,London.
28 Kotlikoff, L. J. and A. Spivak (1981), The family as an incomplete annuities market, Journal of Political Economy, 89 (2): 373-391
29 Kotlikoff, Laurence and L. Summers, 1981,“The Role of Intergenerational Transfers in Aggregate Capital Accumulation,”Journal of Political Economy, 89,706-732.
30 Brown, J. R. and J. Poterba (2000), Joint life annuities and annuity demand by married couples, Journal of Risk and Insurance, 67(4): 527-554.
31 Purcal, Sachi and John Piggott (2003).“Modelling optimal retirement planning: A simulation approach and an application to Japan”, Working Paper 2003_5, Centre for Pensions and Superannuation, University of New South Wales
32 Brown, Jeffrey R., Olivia S.Mitchell, and James M. Poterba, 2001,“The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program,”in Risk Aspects of Investment-Based Social Security Reform, ed. John Y. Campbell and Martin Feldstein.
33 McCarthy, D. and Neuberger, A. (2003),“Pensions Policy: Evidence on Aspects of Savings Behaviour and Capital Markets”, Centre for Comparative European Policy Evaluation, London
34 Davies, James (1981)“Uncertain Lifetime, Consumption, and Dissaving in Retirement”, Journal of Political Economy, vol. 89, no. 3, June, pp. 561-77.
35 Brown, J.R. and M.J. Warshawsky. 2004. Longevity-Insured Retirement Distributions From Pension Plans: Market and Regulatory Issues. In Gale, W.G., Shoven, J.B., Warshawsky, M.J. (Eds.), Public Policies and Private Pensions. Brookings Institution Press, Washington, DC.
36 Brugiavini, A. 1993. Uncertainty Resolution and the Timing of Annuity Purchases. Journal of Public Economics 50(1): 31-62.
37 Milevsky, Moshe, 1998, "Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?" The Journal of Risk and Insurance, Vol. 65, No. 3, pp. 401-426.
38 Kingston, G. and S. Thorp. 2005. Annuitization and Asset Allocation with HARA Utility.Journal of Pension Economics and Finance 4(3): 225-248.
39 Bernheim, B.Douglas, 1991,“How Strong are Bequest Motives? Evidence Based on Estimates of Demand for Life Insurance and Annuities”, Journal of Political Economy, 99 (5), 899-927.
40 Andrew B. Abel, "Capital Accumulation with Adverse Selection and Uncertain Lifetimes," Econometrica, vol. 54, no. 5 (1986), pp. 1079-1098.
41 Jan Walliser, "Understanding Adverse Selection in the Annuities Market and the Impact of Privatizing Social Security," Technical Paper No. 1997-4 (August 1997), available from CBO's Macroeconomic Analysis Division.
42 Brown, J. (2000),“How Should We Insure Longevity Risk in Pensions and Social Security?”, Centre for Retirement Research, Boston College, Number 4.
43 Selnow, G. (2003),“Decision Making Under Uncertainty: Lessons from Recent Research”, paper presented at Developments in Decision-Making Under Uncertainty: Implications for Pensions, hosted by The Pension Research Council, Wharton, April 28-29.
44 Dr.Moshe Arye Milevsky(1998).“optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize?”Schulich School of Business Finance Area ,York University ,Ontario ,Canada, M3J 1P3.
45 Milevsky, Moshe A. and Virginia Young, 2002,“Optimal Asset Allocation and the Real Option to Delay Annuitization: It’s Not Now or Never,”Discussion Paper,Birbeck College, London, PI-0211.
46 Bruginavini, Agar(1993).“Uncertainty Resolution and the Timing of Annuity Purchases”Journal of Public Economics 50(1993).31-62.
47 Mose A.Milevsky & Virginia R.Young(2005).“The timing of annuitization: investment dominance and mortality risk”York University and University of Michigan.
48 Dr.Moshe Arye Milevsky(1996).“optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize?”Schulich School of Business Finance Area ,York University ,Ontario ,Canada, M3J 1P3.
49 Blake,D.and Orszag,J.M.,1998,“stakeholder pensions: exploiting scale economics”, Pensions Institute,Birkbeck College,London.
50 Blake, D.,Burrows,W.and Orszag,J.M., 1999,“Survivor bonds: reducing the cost of pension provision”, Pension Institute, Birkbeck College,London.
51 Wadsworth, M. (2005),“The Pension Annuity Market: Further research into supply and constraints”, Watson Wyatt Discussion Paper, February.
52 .G.A.Mackenzie and Allison Schrager(2004).“Can The Private Annuity Market Provide Secure Retirement Income?”,IMF Working Paper ,04/230.
53 .Fiona Stewart(2007).“Policy Issues For Developing Annuities Markets”.OECD Working Paper On Insurance and Private Pensions No.2 , January 2007.
54 .E Philip Davis Brunel University,“Issues in The Regulation of Annuities Markets”paper pre sented at the conference“Developing an Annuity Market in Europe”June 21-22,2002.
55 Estelle James & Xue Song“Annuities Markets Around the World Money s Worth and Risk Intermediation”CeRP’s working paper,16/2001.
56 David Blake(1999)“Annuity Markets:Problems and Solutions”. The Geneva Papers on Risk and Insurance Vol.24 No.3(July 1999)358-375.
57 Olivia S.Mitchell and John Piggott(2000)“developments in retirement provision: Global trends and lessons from Australia and the US”Pension Research Council of Wharton School ,University of Pennsylvania.
58 Rober Palacios & Rafael Rofman,“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
59 Yermo J(2002).“Private annuities in OECD countries”in“Insurance and private compendium for emerging economies”, OECD,Paris.
60 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
61 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002.
62 Walliser, Jan,2000,“Adverse Selection in the Annuities Market and the Impact of Privatizing Social Security.”Scandinavian Journal of Economics,Vol,102,No.3,pp.373-393.
63 .G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002.
64 Olivia S.Mitchell.“the Value of Annuities”January 2004,a presentation for the Accademia Nazionale dei Lincei,Rome ,Italy.
65朱俊生,庹国柱.论做大个人养老年金保险市场[J].首都经济贸易大学学报,2007(4).
66邓大松,刘昌平.受益年金化:养老金给付的有效形式[J]财经科学,2002(5).
67宋世斌,冯羽,彭俊.养老保险个人账户调整的分析[J].宏观经济研究,2006(7).
68胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
69刘昌平.养老保险个人账户基金治理结构与监管模式研究[J].上海金融,2007(10).
70 Milevsky M.A.,Promislow S.D. and Young V.R.“Killing The Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio”The Journal of Risk and Insurance,2006,73(4):673-686。
71 O’Brien, C., Fenn, P. and Diacon, S.(2005)How long do people expect to live? Results and implications, , Centre for Risk and Insurance Studies, The University of Nottingham, June 2005.
72 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318.
73方明川.商业年金保险理论与实务[M].首都经济贸易大学出版社,第4页。
74段家喜.养老保险制度中的政府行为[M].社会科学文献出版社,2007,第2页。
75 Samuelson, P.A., 1958.,“An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money”. Journal of Politcial Economy ,vol.67.
76欧盟(EU,2006)报告显示,在过去50年里,欧盟25个成员国居民平均寿命上升幅度是每十年接近2.2年。如果平均寿命继续以过去速度上升,在今后50年里,人口出生时的平均余命可能要高于EU预计的4-4.5年。平均寿命每额外上升1年,现收现付制公共养老制度面临的长寿风险损失将等于GDP的1.2%。参见European Commission (2006).“The Impact of Ageing on Public Expenditure: Projections for the EU25 Member States on pension, health care,long-term care, education and unemployment transfers (2004-2050)”European Economy Special Report 1/2006.
77这六国包括:瑞典(1999)、蒙古(2000)、吉尔吉斯坦(1997)、拉脱维亚(1996)、波兰(1999)和意大利(1995)。参见John B.Williamson & Matthew Williams(2003).“the national defined contribution model: an assessment of the strengths and limitations of a new approach to the provision of old age security“. Center for Retirement Research at Boston College Working Paper 2003-18 October 2003. http://www.be.edu/crr.
78在瑞典和蒙古,养老金待遇指数化是以工资水平变化为基础,吉尔吉斯坦是以工资水平变化的75%为基础,波兰是以工资总额的75%为基础,而意大利是以GDP增长率为基础。
79在实行NDC计划的一些国家也有完全基金制计划,例如瑞典除了向NDC计划缴费外(为应税工资的16%),另有2.5%是向基金制个人退休储蓄账户缴费;在波兰,有12.22%构成NDC部分,另有7.3%构成基金个人账户部分;在意大利和吉尔吉斯坦,没有强制性基金制个人账户;蒙古2005年添加了费率为应税工资3%的基金制成分,到2020年费率将逐步上升到7.5%。虽然意大利没有强制性基金制,但是税收政策鼓励建立自愿性个人账户;波兰和拉脱维亚也添加自愿基金制积累成分。当NDC成分和基金制个人账户成分包括在同一计划下,就形成了混合性的或多支柱性的模式。在这种计划下,工人部分养老金会承担工资波动有关的风险,以及股市和债券市场波动带来的风险。
80所有的NDC计划出来考虑到了经济增长率和相关的宏观经济现象变化,特别是工资水平的变化,同时也考虑到了人口老龄化问题(包括计算年金公式的调整),以及劳动力规模的变化,例如拉脱维亚和波兰的计划在参保的工人发生变化时,会自动调整养老金给付额。但是这些调整并不必然使得计划能够实现财务上的收支平衡。瑞典就建立应急准备基金,如果失衡超过一定水平,瑞典还启动一个“刹车”机制,此时每年计算给付金的公式将可能被临时弃用。波兰也建立了准备金,一部分来自于现收现付制DB计划的盈余部分,还一部分是从2002-2008年应税工资的1%。从长期来说,NDC有可能会实现收支平衡,但是计划本身不能解决严重的短期失衡问题。
81 Edwin W.Kopf,“the early history of the annuity”http:// www.casact.org/ pubs/proceed/ proceed26/ 26225.pdf。
82亚当·斯密就曾认为当时英国政府发行的99年期年金的价值应该非常接近于永久性债券的价值,给付期如此长的年金应该具有可继承性。具体内容请参看:亚当·斯密,国民财富的性质和原因的研究(下)[M].商务印书馆,第476-482页。
83在19世纪后半期以前,英国和美国的保险公司使用的是由一名在Northampton教区工作的名为Richard Price的人修订的标准生命表。
84参见Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School , University of Pennsylvania.
85 George .(Sandy)Mackenzie(2006).“Annuity Markets and Pension Reform”Cambridge University Press.
86 Yaari,M.E. 1965 .“Uncertain lifetime,life insurance , and the theory of the consumer”, Review of Economic Studies 32: 137-150.
87 Ando, Albert and Franco Modigliani. 1963.“The Life Cycle Hypothesis of Saving.”American Economic Review.53(1): 55-74.
88这样的文献有Brown et al(2001)、Feldstein and Ranguelova (2001)、and Mitchell et al. (1999)等。
89 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318.
90 Wolfram J.Horneff,Raimond H.Maurer,Olivia S.Mitchell, and Michael Z.Stamos.“Money in Motion: Dynamic Portfolio Choice in Retirement”Pension Research Council Working paper 2007-07 .the Wharton School,University of Pennsylvania.
91 Davidoff T., J. Brown and P. Diamond, 2005, Annuities and Individual Welfare, American Economic Review, 95 (5), p.1573–1590.
93 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002。
94 Rob Rusconi,“The demand for annuities :international evidence and implication for Turkey’s Private pension system”presented to the OECD/IOPS Global Forum on Private Pensions ,Istanbul, 7-8 November 2006
95 Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania.
96 Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008.
97资料来源:Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania.
98 Brown,Jeffrey R. and James M.Poterba,2000.“Joint life annuities and annuity Demand by married Couples”Journal of risk and Insurance.
99 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance andPrivate Pensions,No.24,OECD Publishing。
100这里的数据摘引自Rob Rusconi(2006),“The demand for annuities :international evidence and implication for Turkey’s Private pension system”presented to the OECD/IOPS Global Forum on Private Pensions ,Istanbul, 7-8 November 2006。
101 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing。
102 Gardner, J. and Wadsworth, M. (2004),“Who would buy an annuity? An empirical investigation”, Watson Wyatt Technical Report, March.
103 Joachim Inkmann, et al(2008).“How Deep is the Annuity Market Participation Puzzle?”the Working Paper, January2008.Department of Finance ,Tilburg University..Electronic copy available at: http://ssrn.com/abstract =1099911.
104 Milevsky, M. (2004),“Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities”, paper presented at Managing Retirement Assets Symposium, Las Vegas, March 31-April 2
105 Reno, V.P.,Graetz,M.J., Apfel,K.S.,Lavery,J.and Hill, C.,EDS.(2005). Uncharted Waters: Paying Benefits from Individual Accounts in Federal Retirement Policy. Study Panel final Report, January .Washington DC:National Academy of Social Insurance.
106 Hewitt Associates. 2003.“Survey Findings:Trends and Experience in 401(k) Plans 2003.”p. 71. Lincolnshire, IL: Hewitt Associates.
107Ameriks,John. 2002.“Recent Trends in the Selection of Retirement Income Streams Among TIAA-CREF Participants.”Research Dialogue, Issue 74. New York, NY: TIAA-CREF Institute.
108卡尔·H·博尔奇.保险经济学[M].商务印书馆,1999.p432
109 Finkelstein, Amy, and James M. Poterba, 2002, Selection Effects in the United Kingdom Individual Annuities Market. Economic Journal 112(476): 28-50
110 McCarthy, David and Olivia S. Mitchell. 2006.“International Adverse Selection in Life Insurance and Annuities.”In Riding the Age Waves: Responses to Aging in Advanced Industrial States, Eds.
111这一点,本文的理论推断与Jeffrey R.Brown等(1999)实证研究结果一致:年金支付的预期折旧现值(EPDV)随购买年龄增大而下降,一种可能的解释是,退休晚的人一般比退休早的人死亡率更低。参见:Jeffrey R.Brown, Olivia .S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania。
113 Friedman, Benjamin M., and Warshawsky, Mark. "Annuity Prices and Saving Behavior in the United States." Mimeo: National Bureau of Economic Research, 1988.
114 Friedman,Benjamin M, and Mark Warshawsky,1990,“The cost of annuities: implications for Saving Behavior and Bequests”Quarterly Journal of Economics vol.105.1,pp 135-154
115 Brugiavini,Agar,1993.“Uncertainty resolution and the Timing of annuity purchases”, Journal of Public Economics, Vol.50.no.1.pp.31-62.
116 Mitchell,Poterba, Warshawsky and Brown(1999)、Brown, Mitchell and Poterba(2000)等。
117 Fong, Wai Mun, 2002, On the Cost of Adverse Selection in Individual Annuity Markets: Evidence from Singapore. Journal of Risk and Insurance 69(2): 193-207.
118 Murthi, Mamta, J. Michael Orszag, and Peter R. Orszag, 1999, The Value for Money of Annuities in the UK: Theory, Evidence and Policy. Birkbeck College Working Paper 99-19.
119 Finkelstein, Amy, and James M. Poterba, 2002, Selection Effects in the United Kingdom Individual Annuities Market. Economic Journal 112(476): 28-50
120 Andrew B. Abel, "Capital Accumulation with Adverse Selection and Uncertain Lifetimes," Econometrica, vol. 54, no. 5 (1986), pp. 1079-1098.
121 Jan Walliser, "Understanding Adverse Selection in the Annuities Market and the Impact of Privatizing Social Security," Technical Paper No. 1997-4 (August 1997), available from CBO's Macroeconomic Analysis Division.
122 Warshawsky, "Private Annuity Markets in the United States: 1919-1984."
123但也有研究观点并不完全同意这种判断。例如,美国国会预算办公室专家沃利兹尔(Walliser,1998)就认为,社会保障的引入并没有加强所有市场的逆选择。特别是,现在美国经济条件与20世纪30年代存在巨大差异,那个时候更多的人生活在农村,家庭分担风险更为普遍,65岁以上的人的平均寿命较短,而且金融市场也不太发达。因此在分析时还须考虑如何应用比较性历史证据的问题。沃利兹尔还谈到,是否在早期历史中也存在年金逆选择问题,还是一个未有证据支持解答的谜底。终身年金市场已有很长的历史,对长寿保险的需求也有很长的历史。Hans-peter Banm(1985)就记载,在欧洲中世纪商业同业工会(Hanse)城镇,终身年金向购买者提供终身给付,这种终身年金不能回赎或转手给另一个人,它们类似于现代的养老保险计划。人们经常从医院或教堂购买终身年金,这些组织不可能在支付上有违约行为,也不会就过早死亡从事投机交易。终身年金的利息比一般信用合同要高。但遗憾的是,相关的历史价格资料已经找不到,因为缺乏年金购买者的死亡率表而无法考察当时的逆选择成本问题。分别参见Hans-peter Banm(1985)“Annuities in Late Medieval Hanse Towns”Business History Review,vol,51 no.1.pp.24-28;Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO)
125这里的讨论参考了Eckstein-Eichenbaum-Peled分析模型,见:Eckstein, Z., Eichenbaum, M.S. and Peled D. (1985) ‘Uncertain lifetimes and the welfare enhancing properties of annuity markets and social security’, Journal of Public Economics, 26, pp.303-326。
126有学者比较了在存在社会保障计划和不存在社会保障计划时年金的等同价值(AEW),发现当存在先期年金即社会保障计划时,再购买年金所带来的年金等同价值(AEW)为1.33,而不存在先期年金时,购买年金所带来的等同价值为1.502,这就将年金边际效用递减效应量化了。当然这些数据是根据研究者选择的一些假定参数,并基于效用边际递减函数模型(例如对数模型)计算出来的。参见Brown, Jeffrey R. and Mark J. Warshawsky(2001). “Longevity-Insured Retirement Distributions from Pension Plans: Market and Regulatory Issues.”NBER Working Paper no.w8064. Cambridge, MA: National Bureau of Economic Research.
127 Friedman, Benjamin and Mark J. Warshawsky. 1990.“The Cost of Annuities: Implications for Saving Behavior and Bequests.”The Quarterly Journal of Economics, February, pp. 135-54.
128 Gale,William G. and Joel B.Slemrod.“Rethinking the Estate and Gift Tax: Overview.”2000. Working paper .
129与这些观点相关的详细参考文献,请参见Brown, Jeffrey R. and Mark J. Warshawsky(2001).“Longevity-Insured Retirement Distributions from Pension Plans: Market and Regulatory Issues.”NBER Working Paper no.w8064. Cambridge, MA: National Bureau of Economic Research.
130本杰明·M·弗里德曼等人(1985)利用生命周期储蓄和组合行为的拓展模型并通过模拟计算就这一问题进行了探讨,请参见Benjamin M.Friedman,Mark Warshawsky,“the Cost of Annities:Implications For Saving Behavior and Bequests”. Working paper No.1682. August 1985.
131 Kotlikoff, Laurence J. and Avia Spivak, 1981,“The Family as an Incomplete Annuities Market,”Journal of Political Economy, Vol. 89, No. 2 (April), pp. 372-391.
132 Blake, David, 1999, "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance—Issues and Practice, Vol. 24, No. 3 (July).
133在寿险业内,再保险虽然有助于风险在全国范围内和国际上的大量保险公司之间分散,但只有在公司面临着不同风险,为行业风险分摊留有空间的情况下,再保险才能发挥作用。E·菲利普·戴维斯(2002)认为,再保险不适合年金,因为年金中的长寿和市场回报风险是普遍性的。再保险相当于某种形式的补偿基金,可能会导致道德风险和公司的过度冒险出现,消费者自律的弱化也将会加强这种危险。参见E Philip Davis,“Issues in The Regul- ation of Annuities Markets”paper pre sented at the conference“Developing an Annuity Market in Europe”June 21-22, 2002.
134 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions , Research Report No 318.
135目前,银行业、基金业、证券业都开发出了多种个人理财工具,使得年金保险产品在储蓄和投资增值方面面临
136 Pablo Antolin“form of benefit payment at retirement”DAF/CMF(2008)25 p4
139肯尼斯·布莱克、哈罗德·斯基博(1999).人寿保险(第十二版,中译本)[M].北京大学出版社,第112页。
140 OECD(2008).“Policy Options for The Payout Phase”directorate for financial and enterprise affairs committee on financial markets DAF/CMF(2008)24 23-Oct-2008。
141 E Philip Davis(2002).“Issues in the Regulation of Annuities Markets”.Brunel University West London.18th October 2002.
142在瑞士,个人退休储蓄计划的领款形式与自愿职业养老金计划一样,但强制性职业计划受到的限制更多。
143参见SMF (2000).“Annuities: the case for change”.http://www.smf.co.uk/welfare-reform.html.
144 OECD(2008).“Policy Options for The Payout Phase”directorate for financial and enterprise affairs committee on financial markets DAF/CMF(2008)24 23-Oct-2008。
146请参见OECD(2008).“Policy Options for The Payout Phase”directorate for financial and enterprise affairs committee on financial markets DAF/CMF(2008)24 23-Oct-2008.
147 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002
148 Rocha,R.,Thorburn,C.,(2008),“debeloping annuity markets :the experience of Chile”World Bank publication.
149 George A.(Sandy)Machenzie(2006).“Annuity Markets and Pension Reform”. International Monetary Fund, Cambridge University Press.p138
150同时,英国还对年金化做了具体规定:比如,在A-day(即2006年4月6日)前,如果每年获得工资性收入少于260英镑,即每周5英镑时,退休时可不用年金化。A-day后,年金化条件有所调整,私人养老金账户的资本总额少于15,000英镑的可不用年金化。
151其中有21亿英镑的销售额是属于收入提款类计划(income draw-down)。收入提款计划的账户基金在领取阶段是分期提取,提完即止,不具有年金保险功能,不能提供长寿风险保障(ABI Life Insurance Monthly,2005)。
152 Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008.
153 Murthi, Mamta, J. Michael Orszag, and Peter R. Orszag. 1999a. "The Value for Money of Annuities in the U.K.: Theory, Experience, and Policy." Mimeo, Birkbeck College, London.
154这种巨大差异可以反映出三个问题:一是强制性政策是年金市场发展的一个主要方式,可能也是一种必需的方式;二是强制性政策应该给自愿性年金市场带来了一定挤出效应,但这一点对于年金市场发展本身来说并不重要;三是自愿年金市场可以视为对强制性市场的一种补充,这种补充也是必要的。
155 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
156精算专家和政府精算署(Government Actuary’s Department)对英国人口,及许多分类人口(如被保险人群体、年金购买者群体)的死亡率已经进行了很多年的研究,但过程进行的不是很顺利。比如没有扭转对过去10、20多年老年人死亡率下降的低估趋势。参见Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
157参见Bütler, M & M Ruesch (2007),“Annuities in Switzerland”, World Bank Policy Research WorkingPaper 4438, December.
158年金转换系数(或转化率,CR)就是根据退休时预期余命确定的每年给付额占账户储蓄资本金的比率,转化率的倒数相当于平均余命,每年领取的年金就是账户退休资本金与转化率的乘积,转化率(或转化系数)越高,年金领取额也就越大。
159 Bütler, M and F Teppa (2005).“Should You Take a Lump-Sum or Annuitize? Results from SwissPension Funds”, Working Papers.
160 Roberto Rocha, Craig Thorburn.“Developing Annuities Markets: The Experience of Chile”. The World Bank.2007, p137.
161 Estelle James & Xue Song.“Annuities Markets Around the World Money s Worth and Risk Intermediation”.CeRP’s working paper,16/2001.
162具体来说就是,可自由提取的余额部分就是退休时账户的积累余额与法律规定的能保证一定养老金水平的参考标准之差。在阿根廷,法律规定的参考水平为个人过去5年的平均应税收入的70%和普遍性基本养老金300%这两者中最大者;智利是过去10年平均应税收入的70%和最低养老金120%水平这两者中最大者;秘鲁是过去10年领军应税收入的80%。
163 Rober Palacios & Rafael Rofman,“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
164 Rofman, R.“Developing annuities markets in the LAC region. Issues and prospects. The case of Peru.”Background Paper, July 1999.
165目前拉丁美洲人口接近5亿,预计到2025年达到6.48亿,6个国家(阿根廷、巴西、智利、哥伦比亚、墨西哥和乌拉圭)目前就占了拉丁美洲3/4的市场,2001年65岁以上老人有5000万人,在个人账户制和强制性年金化背景下,这将促使拉丁美洲将成为一个巨大的年金市场。参见Mike Orszag and Mirko Cardinale(2002).“Paying out private pensions in Latin America”Watson Wyatt Technical Report
166南非的养老金从DB制向DC制转化浪潮先后经过了三个阶段:第一个阶段是由工会推动,黑人工会成员转向DC计划;第二个浪潮是由雇主推动,其他成员转向了DC基金。这些基金大部分仍存在,但向新成员关闭,只是向那些不能转化的成员开放。第三次是完全关闭DB基金,这种浪潮现在看起来已经出现了。参见Dion Travers George.“Analysis of South African Pension Fund Conversions:1980-2006;Developing a Model for Dealing with Environmental Change.”University of South Africa , paper for degree of Doctor ,2006.
167 Rusconi, R (2006a),“Non-profit Annuities: Thoughts on South Africa”, presented to the Actuarial Society of South Africa, February, available at www.assa.org.za .
168这些年金包括:(1)定期或生存即期年金;(2)名义定额年金,名义给付额每年以1-8%的幅度增加;(3)消费物价指数化年金;(4)与资产收入表现关联的年金;(5)利润分享性年金,初始折现率可以选择。对于这些年金,通常提供有各种保证性给付待遇,给付保证期由年金购买者自己选择,有1-25年期,以避免受益人过早死亡而带来利益损失,南非的产品不采用初始资本的返还条款。(6)连生年金,生存者给付金的减少额在0-100%之间,购买者可以自己选择。南非的伤害年金市场还小,但正在发展,购买者是嗜烟者或患有重疾病者。
169 Rusconi, R (2006a),“Non-profit Annuities: Thoughts on South Africa”, presented to the Actuarial Society of South Africa, February, available at www.assa.org.za
170 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
171 Jeffrey R.Brown, Olivia S.Mitchell,James M.Poterba(1999),“the role of real annuities and indexed bonds in an individual accounts retirement program”, Financial Institutions Center of the Wharton School ,University of Pennsylvania.
172 Estelle James & Xue Song(2001)“Annuities Markets Around the World Money s Worth and Risk Intermediation”CeRP’s working paper,16/2001.
173 Rusconi.R.(2008).“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing.
174 Jeffrey B.Lieman & Harvard University“the role of annuities in a Reformed U.S. Social Security System”. 2002-17
175 Martin Hering, Michael Kpessa (2006)“Private pensions and Income Security in old age: An Uncertain Future-Conference Report”,SEDAP Research Paper No.180. http://socserv.mcmaster.ca/sedap/ConfpresNov2006.htm.
176尽管在20世纪50-60年代,人口和工资收入的急剧增长刺激了PAYG公共安全网计划的发展,加上债务负担较轻,以及对股份回报高估使得DB计划主办者认为他们能够在缴费不多的条件下是能够提供慷慨的DB给付金。但这种优越条件在目前是越来越不存在的。参见Martin Herping & Michael Kpessa.“Private Pensions and Income Security in Old Age An Uncertain Future—Conference Report”SEDAP Research Paper No.180 March 2007.
177 Brown, Jeffrey and Mark Warshawsky (2001).“Longevity-Insured Retirement Distributions from Pension Plans: Regulatory and Market Issues,”NBER Working Paper No. 8064, Cambridge, MA.
178 OECD (2007)“Closing the Pensions Gap:The Role of Private Pensions”OECD‘s working paper.
179在西班牙的年金市场,目前最常见的年金类型是公司与保险公司在养老金计划积累阶段结束后签订的团体保险合约。团体年金的需求来自于几个方面:(1)在企业并购后,特别是银行系统内将会发生大量解职现象,这要求为被解雇人员提供年金保险;而靠近正常退休年龄的人一般会提前退休,而在正常退休年龄之前的养老金缺口问题就可能需要购买年金来解决;(2)账面准备金取消后,养老金计划采用了基金制,因此对养老金资产的外部化管理需求上升,这需要保险公司提供的团险业务来满足。
180 OECD (2007)“Closing the Pensions Gap:The Role of Private Pensions”OECD‘s working paper.
181 Pablo Antolin“form of benefit payment at retirement”DAF/CMF(2008)25. P4.
182 Suzanne Doyle, Olivia S.Mitchell.John Piggott(2004).“Annuity Values in Defined Contribution Retirement Systems: Anstralia and Singapore Compared”. School of Economics University of New South Wales Journal of Economic Literature Classification Numbers:D91;G18. .e-mail: S.doyle@unsw.edu.au.
183由于“最低限额”(MS)不断提高,而CPF的缴费率自1999-2003年间在下滑,达到MS要求的成员比例一直在下降,目前年满55岁的成员约有35.6%满足了MS要求,而在1996年这一比例为57.1%。为达到MS要求,必然会要求成员减少提款行为。从2009年1月1日开始,普通账户和特殊账户余额提款率从目前的50%将每年减少10个百分点。这样更多的成员在55岁时才能够达到必需的MS条件。
184 Suzanne Doyle, Olivia S.Mitchell.John Piggott(2004).“Annuity Values in Defined Contribution Retirement Systems: Anstralia and Singapore Compared”. School of Economics University of New South Wales.e-mail: S.doyle@unsw.edu.au Journal of Economic Literature Classification Numbers:D91;G18.
185Rusconi.R.(2008)“National Annuity Markets: Feathures and Implicaitons”OECD Working papers on Insurance and Private Pensions,No.24,OECD Publishing,
187由于相关商业年金保险发展的资料和数据很难获得,这里主要参考了北京大学中国保险与社会保障研究中心课题“中国社会保障制度研究”中的“商业养老保险”部分资料(该部分由对外经济贸易大学王国军教授执笔),参见:孙祁祥,郑伟等著.中国社会保障制度研究——社会保险改革和商业保险发展[M].北京:中国金融出版社,2005:179-206.
188此次调查于2006年9月至11月进行,调查对象是1700名年龄24岁以上、年收入水平在6万元至50万元人民币的各行各业人士。资料来源:渣打银行调查报告-个人养老市场潜力巨大[N].中国证券报,2007年8月19日。
190拉美四国(阿根廷、智利、哥伦比亚和秘鲁)的资料来自于:Rober Palacios & Rafael Rofman(2001),“Annuity Markets and Benefit Design in Multipillar Pension Schemes: Experience and Lessons from Four Latin American Countries”March 2001. Social Protection Discussion Paper No.0207. The World Bank.
191向贵朗.论我国寿险业发展前景[J].西南金融,2008(7):56-57.
192孙凤华,蔡秋杰.人均GDP1000美元前后国际寿险需求的比较[J].保险职业学院学报,2008(4):19-24
193其他的研究也有类似的分析结果。著名发展经济学家、1979年诺贝尔经济学奖得主刘易斯(Lewis)曾利用63个国家和地区以及23个发达国家1980-1996年间的统计数据,通过对数线性回归模型研究了人均收入、人口结构、教育水平与城市化率等与保险市场发展水平(保险深度、保险密度)关系,结果显示人均收入对保险市场发展有明显正影响。见李扬.中国金融发展报告N0.2,2005[R].北京:社会科学文献出版社,2005。这样的分析文献还有很多,例如卓志.我国人寿保险需求的实证分析[J].保险研究,2001;杨舸等.我国寿险需求的实证分析[J].中国软科学,2005(5):50-54。
194见苗复春等主编.县域保险发展研究报告[M].中国财政经济出版社,2006:68。
196朱俊生,庹国柱.关于企业年金几个基本理论问题的探讨——第二届中国社会保障论坛文集“建立覆盖城乡的社会保障体系”,中国劳动社会保障出版社,2007.
197可决系数R 2 =0.95,标准差St. =0.29,协方差Cov. =0.20。详见胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
198资料来源:Jean-Jacques Gollier.“Private Pension Sytems”, Private Pension Systems and Policy Issues,No.1,OECD 2000,P259,转引自胡秋明和赖柳柳(2006)。
199根据2008年《中国统计年鉴》显示,至2007年底,城乡就业人员总计为76990万人,而当年参保的就业人员为15183.3万人,两者之差为未参保人就业人员61807万人。
200张明.20世纪90年代以来关于储蓄率研究的最新动态[J].世界经济,2007(4):86-95.
201 Feldstein,Martin(1974).“Social Security ,Induced Retirement and Aggregate Capital Accumulation”Journal of Political Economy 82 No.5 (September/October 1974):905-26.
202 Feldstein,Martin(1996).“Social Security and Saving: New Time Series Evidence”. National Tax Journal Vol 49 no. 2(June 1996) PP.151-164.
203徐滇庆等.“各国储蓄率相差悬殊中国高企持续多久”[N].南方周末,2005年6月2日。
204郑杭生,李路路,等.当代中国城市社会结构[M].北京:中国人民大学出版社,2004:169。
205 2007年城镇分行业就业劳动者人口为2.65亿人,按分行业劳动报酬平均水平计算,月劳动报酬收入少于2000月的为5386万人。
206例如,天津滨海新区保险改革试验区的天津滨海补充养老保险试点中,企业为职工购买补充养老保险的费用支出在本企业上年度职工工资总额8%以内的部分,可以在企业所得税前扣除。补充养老保险的个人交费部分则可在个人工资薪金收入30%以内的部分,在个人所得税前扣除。由于国家税务总局对试点中的“30%税前列支”的个人税收优惠政策存在异议,涉及个人税收优惠这块的试点工作于2008年8月被叫停。但就在叫停通知下发仅三天后,天津市财政局和天津保监局又联合发文,连推三项财税优惠举措。天津财政局和天津保监局联合下发的《关于天津滨海新区试点补充养老保险有关财税优惠政策的通知》,主要涉及三项针对在津保险公司开展补充养老保险业务的财税优惠举措,主要体现在返还一定比例的营业税和企业所得税,其中一项将直接惠及到个人投保者。资料来源:黄蕾.应对个人税优叫停,天津财政“曲线”鼓励补充养老险[N].上海证券报,2008-9-23。
207郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P98
208郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P42
209人力资源和社会保障部:“2008年劳动和社会保障失业发展统计公报”。
210郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P45-57.
211郑功成.中国社会保障改革与发展战略——理念、目标与行动方案[M].人民出版社,2008.P59-61.
212胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P32
213 OECD(2007)“Closing the Pensions Gap:The Role of Private Pensions”OECD’s Working Paper。
214 Oonagh McDonald(1999).“Income in Retirement :Are Annuities the Answer?”Association of Unit Trusts and Investment Funds,1999
215即1997年7月16日颁布的《关于建立统一的企业职工基本养老保险制度的决定》。
216即2000年12月25日颁布的《关于印发完善城镇社会保障体系的试点方案的通知》。
217即2005年12月3日颁布的《国务院关于完善企业职工基本养老保险制度的决定》。
219彭浩然,申曙光.强制性个人账户养老金计发办法改革对替代率影响的实证研究[J].当代财经,2007(3):58-60.
220刘昌平.养老保险个人账户基金治理结构与监管模式研究[J].上海金融,2007(10):49-52
221彭雪梅.对企业年金在中国养老保险体系中定位的再认识[J].财经科学,2004(12):12-15
222胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
223郭琳.中国养老保障体系变迁中的企业年金制度研究[M].北京:中国金融出版社,2007
224林义等.企业年金的理论与政策研究[M].西南财政大学出版社,2006.27
225中国社会科学院拉美研究所研究员郑秉文对两种账户的性质进行了清晰界定。他认为,基本养老保险个人账户资金的性质与企业年金账户资金虽然都具有强烈的私有性,但还是存在本质的区别:前者是国家举办的强制性基本保险,,国家应承担一定的补偿责任,应建立一定程度的补偿机制,制定一套相应的政策,对投资机构国家要做出一定的制度安排,对受益水平应承担一定财政责任。而企业年金则不完全如此,按照国际惯例,企业年金作为自愿型补充保险,应完全进行市场化营运;作为DC型信托制,目前阶段无须建立官方的补偿机制。鉴于此,养老金管理公司的任务应是专营企业年金资产,基本养老保险账户资金应由中央政府另行单独制定投资管理政策, 在管理营运上不应与企业年金合二为一。在监管方面,从长期来看,社保基金与企业年金的监管应该分开监管,前者带有强烈的财政属性,而后者带有明显的金融属性,前者主要还属于公共部门,国家要承担相当的责任,后者则主要属于私人部门,主要靠市场机制。参见郑秉文.企业年金受托模式的“空壳化”及其改革的方向[J].社会保障世界,2008。
226例如,武汉大学社会保障研究中心邓大松和刘昌平曾提出,对基本养老金个人账户应采用强制年金化的政策,理由是:一方面基本养老金提供替代率为60%的基本社会保障,另一方面,自愿年金市场存在较大程度的逆选择,减少逆选择的可行方式就是实行强制年金。参见邓大松,刘昌平.受益年金化:养老金给付的有效形式[J]财经科学,2002(5)。此外宗世斌等人意识到基本养老金个人账户存在资金缺口问题,也提出年金化的建议。参见宋世斌,冯羽,彭俊.养老保险个人账户调整的分析[J].宏观经济研究,2006(7)。
227 Tversky, A. and D. Kahneman. 1992. Advances in Prospect Theory: Cumulative Representation of Uncertainty. Journal of Risk and Uncertainty 5: 297-323.
228 Wei-Yin Hu and Jason S.Scott(2007)“Behavioral Obstacles to the Annuity Market”PRC WP2007-10 Pension Research Council Working Paper. The Wharton School ,University of Pennsylvania.
229有学者也提出了在美国存在收入与死亡率(寿命)之间存在强关联的证据,参见Lillard and Panis, "Income and Mortality" (draft, RAND, December 1996)
230郑秉文.账户资金市场化投资是大势所趋[N].中国证券报,2007年3月12日。
231胡秋明,赖柳柳.论养老金制度的结构性改革与寿险公司的市场定位,第二届中国养老保险及企业年金发展论坛获奖论文集,2006.
232 American Academy of Actuaries(2001).“Annuitization of Social Security Individual Accounts”Issue Brief.
233 E Philip Davis(2002).“Issues in the Regulation of Annuities Markets”.Brunel University West London.18th October2002.
234例如英国2000年销售年金的ABI成员公司有42家,到2006年减少为36家。这36家中,有14家市场份额都在1%以上,有16家每家市场份额都在0.5%之下,而最大10家的总和市场份额占89%。参见Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008。智利的年金提供者因市场竞争激烈也在减少。
235 Fiona Stewart(2007).“Policy Issues For Developing Annuities Markets”.OECD Working Paper On Insurance and Private Pensions No.2 , January 2007。
236 David Blake(1999)“Annuity Markets:Problems and Solutions”. The Geneva Papers on Risk and Insurance Vol.24 No.3(July 1999)358-375.
237长寿债券的期限一般较长,债券返利是每年根据一个人口寿命相关指数来确定,该指数是用债券发行时65岁男性老人数和在以后每个给付日时仍生存的人数来表示。被指数“盯住”的老人群体人数是逐年递减的,因此债券的给付额也会递减。
238 E Philip Davis.“Issues in the Regulation of Annuities Markets”.Brunel University West London.18th October 2002.
239吴定富主编.中国保险市场发展报告[M].电子工业出版社,2008,p109.
240 Jeffrey B.Lieman & Harvard University“the role of annuities in a Reformed U.S. Social Security System”. 2002-17
241 Edward Palmer(2009).“The Swedish Annuity Market: Where it Is and Where It’s Headed”.writer’s Draft, January 8,2009. Uppsala University
242 PPM(或PPA)也是国内养老基金公司的管理机构,要接受公共计划下真实个人账户基金投资管理业务的养老基金公司必须在PPM注册登记,PPM也作为投保人和养老基金管理公司的精算所(cleaning house),为每个参保人的个人账户投资业务办理清算服务。
243 Palmer,Edward.(2000)“The Swedish pension reform model :framework and issues”World Bank Discussion paper series. http://www.oecd.org/dataoecd/63/51/2638200.pdf. 244
245资料来源:Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO)
246 Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO) http://www.cbo.gov/ftpdocs/3xx/doc348/ssannmkt.pdf
247郑秉文.中国企业年金何去何从[J].中国人口科学,2006(2):2-20。
248邓大松,刘昌平.中国社会保障改革与发展报告[M].人民出版社,2008。
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[207]. Mithchell ,Olivia,James Poterba, Mark Warshawsky and Jeffrey Brown,1999.“New Evidence on the Money’s Worth of Individual Annuities”, American Economic Review.89(5),1299-1318.
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[217]. Walliser, J.(1999). Regulation of Withdrawals in Individual Account Systems.International Monetary Fund Working Papers 99/153.
[218]. Jason S.Scott,John G.Watson, and Wei-Yin Hu(2006).“Efficient Annuitization with Delayed Payout Annuities”.
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[220]. Davis E P (2002c),“Pension fund management and international investment– a global perspective”, Discussion Paper 02-05, Pensions Institute, Birkbeck College, London.
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[224]. Blake, David, 1999, "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance—Issues and Practice, Vol. 24, No. 3 (July).
249Salvador Valde-Prieto.“Risks in Pensions and Annuities:Efficient Designs”Human Development Network Social Protection Group ,The World Bank, February 1998.
250 Dr.Moshe Arye Milevsky(1996).“optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize?”Schulich School of Business Finance Area ,York University ,Ontario ,Canada, M3J 1P3.
251 Mose A.Milevsky & Virginia R.Young(2005).“The timing of annuitization: investment dominance and mortality risk”York University and University of Michigan.
254胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P7。
255该计划推出的背景是,劳工党政府于1999年4月颁布了最低收入保证(MIG)政策,为低收入退休者提供最低收入保障,作为对BSP计划的一个补充。从2001年4月起,这种最低收入标准是每人每周92.15英镑和夫妇二人每周140.55英镑。政府考虑到了这种MIG政策将可能不利于刺激个人储蓄,同时又推出养老金信用(pension credit)计划,并于2003年生效。该计划向参与储蓄计划的低收入者承诺,其收入的60%将在BSP与MIG之间。
256英国税务局对职业养老金计划可免税的缴费金额有一定限制。对于50岁以下的雇员,其缴费比例不超过个人净相关收入(不包括雇员的加班费用、奖金的工资性收入)的50%。如果加上雇主的缴费,则合计缴费数不能超过净相关收入的17.5%,这个合计数里可包括不超过5%的“死亡恤金”。对于超过50岁的雇员,其缴费比例可高些,例如51-55岁,最高为20%;56-60岁,最高为22.5%;61-74岁,最高为27.5%。资料来源:David Blake(1995).“pension Schemes and Pension Funds in the United Kingdom”.p.87,Clarendon Press,Oxford.转引自胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P90。
257胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P87-95。
258在1988年前,就出现了一个可供于自我雇用者个人购买的类似养老计划.
259胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P32
260 Http://www.thepensionsregulator.gov.uk/stakeholderpensions/general/general-01.aspx#stake.
261详细内容参阅:胡云超.英国社会养老制度改革研究——历史进程与经济效果[M].法律出版社,2005.P92-95.
262 Wadsworth,Findlater, and Boardman(2001).
263 Department of Social Security,2002,Cm 5677,pp.51-52.完全采用DC计划的占50%。大型雇主已经转向了DC计划,至少对于计划的新加入者是如此。然而,尽管向DC制转变的过程在继续,但是转变的动作还比较缓慢。还有一份1998年出版的调查(即Towers Perrin百家公司调查)显示,38家公司已经执行的某种形式的DC计划,涉及的参保人有35万人,涉及的职业非常广泛,包括酒店休闲业;高技术和电子业;石油和采掘业;医疗和金融服务业等。另外的62家公司还没有提供DC计划,但是有12家正积极考虑转向DC计划,其余的还在考虑具体的选择。参看Oonagh McDonald(1999).“Income in Retirement :Are Annuities the Answer?”Association of Unit Trusts and Investment Funds,1999.p6.
265有一点需要引起注意的是,英国的职业养老金计划作为一种自愿性计划,采用何种受益模式,在政策上并没有像有些国家一样作出强制规定。有些雇主对年轻雇员才加入计划之初,只提供了DC模式,但是在以后职业阶段,可能会允许转向DB模式。对于忠诚的、核心员工,雇主仍将DB计划作为了人事激励手段。
266当时在超年金基金公会、国民养老基金协会(NAPF)的压力下,国内税务局同意雇员向养老信托基金的缴费可享受税优政策(EET)。后来EET被推广到了所有养老金计划,包括自雇者养老金计划。但由于养老基金收入需计税(包括对从寿险公司购买的年金本金和收益征税),而一次性提款则不用计税,这种税制安排使得人们纷纷选择一次性提款以避税。一次性领款最终让各方管理部门感到不满意而受到限制:一是税务部门感到不满意,因为一次性领款减少了税源;二是养老金管理部门也不满意,因为一次性领款不利于切实提供养老保障。在英国,信托基金通常提供养老年金,接受1921年的《金融法》管制,超年金基金公会就非常赞同利用《金融法》的税收豁免条款,来限制一次性提款。这些因素最终促成1921年的《金融法》建立了养老金税收框架,开始限制一次性领款,并使之成为一个惯例,这样在英国,强制年金化就出现了。英国强制年金化政策的详细介绍可参看Oonagh McDonald(1999).“Income in Retirement :Are Annuities the Answer?”Association of Unit Trusts and Investment Funds,1999.
268这种规定多次出现在Millard-Tucker委员会报告、1954年和1956年的“金融法”中。当时的金融法向自雇者的退休年金合同提供了税收减免政策,这一政策在1989年的“收入和公司税法”(Income and Corporation Taxes Act,1989)再次被提到。这一时期,男性平均寿命已经大大延长,而平均寿命延长导致资本损失会提前三年出现,因而强制购买年金这一规定就被提出来。可见强制性年金化的提出原因之一也是为了解决当时因平均寿命延长而导致储蓄年金计划的财务可持续问题。参见Oonagh McDonald(1999).p4
269 Mamta Murthi,J.Michael Orszag and Peter R.Orszag(1999).“the Value for Money of Annuities in the UK: Theory ,Experience and Policy”
270实际上,英国大部分个人账户都是通过寿险公司或寿险工具承保的,从这些寿险公司或工具,退休者也可以获得退休年金。
271但有一个例外,如生命损害年金(life-impaired annuity)所获得的宽免税好处就比较少,因为缴费资本与普通年金是一样的,但是这种年金提供的给付收入则比普通年金要高。
272见http://www.smf.co.uk/welfare-reform.html
273 Rob Ruscon(i2006),“The demand for annuities :international evidence and implication for Turkey’s Private pension system”presented to the OECD/IOPS Global Forum on Private Pensions ,Istanbul, 7-8 November 2006.
277 Dimitri Gunawardena, Christopher Hicks and David O’Neill(2008).“Pension Annuities: Pension annuities and the open market option”ABI research paper NO8,2008.
278见Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318转引U.K. Department of Social Security,2002,Cm 5677,pp.87-88。
279这种巨大差异可以反映出三个问题:一是强制性政策是年金市场发展的一个主要方式,可能也是一种必需的方式;二是强制性政策应该给自愿性年金市场带来了一定挤出效应,但这一点对于年金市场发展本身来说并不重要;三是自愿年金市场可以视为对强制性市场的一种补充,这种补充也是必要的。
282 Cardinale, Mirko, Alec Findlater, and Mike Orszag, 2002, Paying Out Pensions: A Review of International Annuity Markets. Watson Wyatt Research Report, 2002-RU07.
283关于英国人口死亡率的阶层差异可参看Coleman and Salt(1992);于英国公务员的收入和死亡率经验的讨论参看Michael Marmot, George Davey Smith, Stephen Stansfield, Chandra Patel, Fiona North, J. Head, Ian White, Eric Brunner, and Amanda Feeny (1991),“Health Inequalities among British Civil Servants: The Whitehall II study”, Lancet, June 8, pages 1387-93
285 Edmund Cannon and Ian Tonks(2006),“Survey of annuity pricing”Department for Work and pensions ,Research Report No 318.转引Cannon and Tonks(2004b)。
288美国职业养老金的详细框架请参见郭琳.中国养老保障体系变迁中的企业年金制度研究[M].中国金融出版社,2008.P166。
289银行和节俭储蓄包括基奥(Keogh)储蓄。
290“寿险公司”中IRA资产是IRA持有的年金资产,不包括共同基金管理下的变额年金资产。
291经纪账户中证券不包括经纪账户持有的共同基金资产,这部分资产计算在共同基金中。
292根据早期文献(James,1947)的介绍,这些公司也是向穷人、生活窘困的教徒及其遗孀、孩子提供救济的组织,为他们提供生存保障。参见.James M.Poterba(2001).“Annuity Markets and Retirement Security”.CRR WP 2001-10,Center for Retirement Research at Boston College. http://www.bc.edu/crr.
293 .James M.Poterba(2001).“Annuity Markets and Retirement Security”.CRR WP 2001-10,Center for Retirement Research at Boston College. http://www.bc.edu/crr.
294例如,1900-1902年的一个25岁人平均余命为39.1年,如果从出生日算起,当时一个人的平均寿命在在64岁以下。现在的水平是,在2004年,25岁人的平均余命上升到54年。数据来源:http://www.prlog.org/10093268-rising-life-expectancy-driving-us-annuity-market-towards-11-growth.html
295 20年代早期,美国就有寿险公司(如美国团体年金市场的先驱——美国大都会寿险公司)就开始涉足公司DB养老计划业务。一战后,寿险公司开始签发大公司的团体寿险、健康险和伤残险保单,而向雇员提供终身年金就是这些业务的自然拓展。早期大部分公司养老金计划采用的是现收现付制(PAYG),公司利用当期缴费收入向退休者支付养老金金。1921年,大都会寿险公司开始承接管理公司养老金计划的小额合同业务,向在职雇员收缴保费,向退休雇员发放养老金。1925年大都会自己设计退休养老金计划,开始在1927年将团体年金推向市场,营业第一年,卖出的团体年金合同仅30来份,受保人数不足40,000人。
296 Mark Warshawsky.“Private Annuity Markets in the United States:1919-1984”Jouanal of Risk and Insurance. VoL.55,NO.3,(Sep.,1988),pp.518-528。
297 James M.Poterba(2001).“Annuity Markets and Retirement Security”.CRR WP 2001-10,Center for Retirement Research at Boston College. http://www.bc.edu/crr
298但是对这种解释有人提出了异议,参见Mark Warshawsky.“Private Annuity Markets in the United States:1919-1984”Jouanal of Risk and Insurance. VoL.55,NO.3,(Sep.,1988),pp.518-528
300这些统计数据是指变额年金新保单的销售额,而不是变额年金的净购买量。在许多情形下,新的非适格保单销售就是行业中所谓的税法的1035条款“互换”引起的,根据Cerulli Associates(2003)的行业研究,1035条款互换业务占了行业销量的主要份额。而根据2001年的销售预计,新业务销量不足总销售量的20%。虽然变额年金的总销售量从1995年到2000年得到急剧增长,但是变额年金的新销量带来的收入是越来越小。“1035互换”业务上涨说明该行业内各个公司之间争夺现有市场的竞争在加大,而事实上针对新客户的年金销量却正开始萎缩。Jeffrey R.Brown & James M.Poterba(2004),“Household demand for variable annuitites”. CRR WP 2004-08
301Jeffrey R.Brown & James M.Poterba(2004)认为个人变额年金需求增加可能有三个方面的原因:(1)财富积累可获得可观的税后回报率。利息、红利和资本收益只有在领取年金时才计税。这类似于个人退休账户(IRA)和401(k)计划的延税待遇。Gentry & Milano(1998)研究了税收是如何影响年金需求的,他们使用了不同地区(州)所得税的差异和1984-1993年之间联邦税率的时间序列变化数据,发现变额年金的总销售规模在边际所得税率高的州要比边际所得税率低的州要大,这意味着变额年金购买的部分意图就是要避开传统课税账户的投资税负。(2)变额年金提供不同形式的保险,即如果保单持有人退休前死亡,其后嗣至少可以领取到保单供款的名义价值。Milevsky & Posner(2001)利用风险中性选择定价模型计算了死亡给付金有最低保证的变额年金的价值,他们发现,保费退回性死亡给付金只占本金的1-10个百分点,于是一个疑问是,消费者购买这些产品,在多大程度上是基于年金积累期间的保险功能?很遗憾,现在还没有相关的经验研究来探讨投资者的特征,例如,个人自我认为是风险厌恶者是否就能用来解释变额年金需求问题。(3)持有变额年金的第三个动机就是可以转换成终身年金,并由此提供退休期间的年金化收入,年金支付与多样化投资组合绩效挂钩。Brown,Mitchell and Poterba(2001)就探讨了经典生命周期模型中的年金需求问题,他们认为大部分消费者会发现至少将退休组合的一部分投入到股权关联性年金产品上也会带来福利改进。实际上,在退休期间将变额年金产品转换成终身年金的情形在过去好像是非常少见的。参见文献:Jeffrey R.Brown & James M.Poterba,“Household demand for variable annuitites”. CRR WP 2004-08。
304许多寿险也提供了“保证性死亡给付金”,但这种做法容易导致逆选择发生,参见肯尼斯·布莱克.人寿与健康保险[M].经济科学出版社,2003,p177.
306 William M.Gentry & Joseph Milano,“Taxes and Inverstment in Anuuities”Working Paper 6525. National Bureau of Economic Research ,April 1998.
307变额年金和共同基金投资的税后收益在不同税收假设下的比较可参见Toolson,Richard B.1991.“Tax-advantaged Investing:Comparing Variable Annuities and Mutual Funds”Journal of Accountancy, May,vol.171,no.5,pp.71-77
308一些公司例如Scudder(见Lavine 1993)为吸引将年金作为一种流动形式的投资的老投资客户,提供的VA中就没有包含退保费。
309 Savita,Eric J.1992.“too close to call? How annuities stack up against mutual funds”Barron’s, April 27, PP .M17-M18.
310 William M.Gentry & Joseph Milano,“Taxes and Inverstment in Anuuities”Working Paper 6525. National Bureau of Economic Research ,April 1998.
311当然,这些数据肯定低估了变额年金合约将来转成终身年金合约的比重,因为在任何一个时点上,这些变额年金合约大都还处在工作期间的积累阶段。
312 Reno, V.P.,Graetz,M.J., Apfel,K.S.,Lavery,J.and Hill, C.,EDS.(2005). Uncharted Waters: Paying Benefits from Individual Accounts in Federal Retirement Policy. Study Panel final Report, January .Washington DC:National Academyof Social Insurance.
313 Brown, Jeffrey R. and Mark J. Warshawsky. 2001.“Longevity-Insured Retirement Distributions from Pension Plans: Market and Regulatory Issues.”NBER Working Paper no.w8064. Cambridge, MA: National Bureau of Economic Research
314 G.A.Mackenzie,“the role of private sector annuities markets in an individual accounts reform of a public pension plan”,IMF Working paper, September 2002
315 Brown, Jeffrey R., Olivia S. Mitchell, and James M. Poterba, 2002, Mortality Risk, Inflation Risk and Annuity Products. In Mitchell, Olivia S., Zvi Bodie, P.Brett Hammond, and Stephen Zeldes eds.: Innovations in Retirement Financing (The University of Pennsylvania Press, Philadelphia, Pennsylvania.).
317 Reno, V.P.,Graetz,M.J., Apfel,K.S.,Lavery,J.and Hill, C.,EDS.(2005). Uncharted Waters: Paying Benefits from Individual Accounts in Federal Retirement Policy. Study Panel final Report, January .Washington DC:National Academy of Social Insurance.
318在美国,中等收入家庭20%的资产是体现在房产上。虽然一个家庭可能利用房产销售收入购买年金合同将其房产年金化,但是很多退休者并不愿意这么做,因为拥有房产既能提供财务安全,又能够与熟悉的邻居生活在一起。除了出售和租赁外,家庭能够利用房产获得反抵押贷款。反抵押贷款有一个租期选择,只要房主还居住时,提供反抵押贷款业务的机构会每月向房主提供收入,如果房子卖出,售房收入用于偿还贷款;如果收入高出贷款价值,则剩余部分留给房主或其继承者,但是反抵押贷款市场目前不大。见Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO) http://www.cbo.gov/ftpdocs/3xx/doc348/ssannmkt.pdf
319商业年金保单提供的给付金不像社会保障那样具有明显通胀风险保障功能。私人年金提供的是固定的名义收入(即非参与性定额年金),收入根据投资绩效表现而变化(变额年金),或者两者都有(定额的、参与性年金)。非参与性名义定额年金因为名义收入是不变的,显然不能保护通货膨胀,其真实价值下降率等于通胀率。在美国,TIAA就提供有阶段式定额和参与性年金(graded fixed and participating annuity),如果TIAA投资组合收益超过4%,给付水平每年提高,只要通胀率小于年金给付水平的上涨率,这种年金能够提供通胀风险保障。但是阶段式年金不能消除意外的高通货膨胀风险。变额年金在一定程度上具有通胀风险保障功能,因为投资收益会与通货膨胀水平同步变化。变额年金面临的通胀风险问题会不那么严重。但是,财政部最近发行了5年、10年期的通胀指数化债券,据此保险人可以支持发行通胀性指数化年金。如果财政性债券的到期日更长,保险人也更有积极性提供指数化年金。CREF在其产品组合中也增加了通胀指数化年金。参见Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO)。
320 Brown, Jeffrey and Mark Warshawsky (2001).“Longevity-Insured Retirement Distributions from Pension Plans: Regulatory and Market Issues,”NBER Working Paper No. 8064, Cambridge, MA.
321详细内容请参看Brown, Jeffrey and Mark Warshawsky (2001).“Longevity-Insured Retirement Distributions from Pension Plans: Regulatory and Market Issues,”NBER Working Paper No. 8064, Cambridge, MA.
322参见:Jeffrey B.Lieman & Harvard University“the role of annuities in a Reformed U.S. Social Security System”. 2002-17.
328Bütler, M & M Ruesch (2007),“Annuities in Switzerland”, World Bank Policy Research WorkingPaper 4438, December
329 Bütler, M and F Teppa (2005).“Should You Take a Lump-Sum or Annuitize? Results from SwissPension Funds”, Working Papers.
332 Walliser,J.(1998)“Social Security Privatization and the Annuities Market”Congressional Budget Office(CBO) http://www.cbo.gov/ftpdocs/3xx/doc348/ssannmkt.pdf
333 UF是unidades de fomento的简写形式,它是与物价挂钩的一种账户单位,广泛适用于账户和税收系数的估值中,其价值相当于半月社会平均工资。
334即个人账户的投资回报率不能低于:过去三年同类型基金的真实平均年回报率中的最小值,再减去200个基本点,或者50%的真实平均年回报绝对值。
335但是学者认为,目前全面评估这种改革带来的潜在影响还为时过早。但无论怎么样,这项政策退休不久,第三支柱的缴费已经从2001年的第二季度的900万美元增加到2002年第二季度的1300万美元。Roberto Rocha, Marco Morales and Craig Thorburn(2006).“an Empirical Analysis of the Annuity Rate in Chile”World Bank Policy Research Working Paper 3929.
336 2004年智利人口1609万,根据联合国的人口统计,现在智利的老年抚养比为11%,智利老人人数大概在160万以下。智利老人购买年金保险的比例是比较高的,大概在20%以上,而在养老金系统中退休的老人购买年金保险的比例则超过了60%。
337 Roberto Rocha, Marco Morales and Craig Thorburn(2006).“an Empirical Analysis of the Annuity Rate in Chile”World Bank Policy Research Working Paper 3929
338 Roberto Rocha and Craig Thorburn(2007).“Developing Annuities Markets :the experience of Chile”The Work Bank.
340参见文献OECD(2008).“forms of benefit payment at retirement”DAF/CMF(2008)25..contract author:Pablo Antolin ,Email: pablo.antolin@oecd.org .
342 Martin Hering, Michael Kpessa (2006)“Private pensions and Income Security in old age: An Uncertain Future-Conference Report”,SEDAP Research Paper No.180. http://socserv.mcmaster.ca/sedap/ConfpresNov2006.htm.
344 Martin Herping & Michael Kpessa.“Private Pensions and Income Security in Old Age An Uncertain Future—Conference Report”SEDAP Research Paper No.180 March 2007
346澳大利亚超年金的历史可详见:APRA(2008).“A recent history of superannuation in Australia”. www. apra. gov.au.
348 http://www.apra.gov.au/Statistics/upload/June-2007-Annual-Superannuation-Bulletin.pdf
349中国保监会.养老保险国别研究及对中国的启示[M].中国财政经济出版社,2007.p99
351 Amandha Ganegoda(2007).“Explaining the Demand for life annuities in the Australia Market”Centre for Pensions and Superannuation(CPS) Discussion paper. 05/2007
354 Amandha Ganegoda(2007).“Explaining the Demand for life annuities in the Australia Market”Centre for Pensions and Superannuation(CPS) Discussion paper. 05/2007
355 Cardinale, Mirko, Alec Findlater, and Mike Orszag, 2002, Paying Out Pensions: A Review of International Annuity Markets. Watson Wyatt Research Report, 2002-RU07.
356 Amandha Ganegoda(2007).“Explaining the Demand for life annuities in the Australia Market”Centre for Pensions and Superannuation(CPS) Discussion paper. 05/2007
359 Knox, David. The Australian Annuity Market. 2001. Washington, World Bank.Policy Research Working Paper.
360 Doyle, Suzanne, Mitchell, Olivia S., and Piggott, John. Annuity Values in Defined Contribution Retirement Systems: The Case of Singapore and Australia. 2001. Pensions Research Council. Pensiions Research Council Working Papers.
361例如,澳大利亚没有开发自己国家的年金受益人死亡率表,而使用的是英国经验表;一般也没有使用再保险。
362 Suzanne Doyle, Olivia S.Mitchell.John Piggott(2004).“Annuity Values in Defined Contribution Retirement Systems: Anstralia and Singapore Compared”. School of Economics University of New South Wales.e-mail: S.doyle@unsw.edu.au Journal of Economic Literature Classification Numbers:D91;G18.
363张乐.“印度社会保障体现概述”[J].南亚研究季刊,2006(2):112-119
367 Estelle James & Renuka Sane,“The Annuity Market in India: Do Consumers Get Their Money’s Worth? What are the Key Public Policy Issues?”in Rethinking Pension Provision for India, ed. Anand Bordia and Gautam Bhardwaj, New Delhi; Tata McGraw-Hill Publishing Company, 2003.
368 Yermo J (2001)“Private annuities in OECD countries”, in“Insurance and private pension compendium for emerging economies”, OECD, Paris.
369.E Philip Davis Brunel University,“Issues in The Regulation of Annuities Markets”paper pre sented at the conference “Developing an Annuity Market in Europe”June 21-22,2002.
370 http://www.stats.gov.cn/tjsj/qtsj/gjsj/2007/t20080630_402489050.htm.