• Proceedings of the Korean Operations and Management Science Society Conference
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• 2008.10a
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• pp.314-318
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• 2008

퇴직연금에서 DB(defined benefit, 확정급여형) 플랜 가입자는 은퇴 이후의 급여가 확정되는 반면, DC(defined contribution, 확정기여형) 플랜 가입자는 납입금액만 확정될 뿐미래의 급여는 보장되지 않는다. 따라서 DC 플랜 가입자는 가입기간 동안 적절한 투자전략을 통하여 연금자산이 최대로 성장할 수 있도록 노력해야 한다. 그러나 자산가격은 시장 위험에 노출되어 있기 때문에 자산배분은 퇴직시점에 접근할수록 안전자산 위주로 전환되어야 한다. 라이프사이클 자산배분모형과 라이프사이클포트폴리오는 최신의 운용기법으로 그 유용성을 인정받고 있지만, 기계적이고 직관적인 방법으로 인하여 이론적인 근거에 취약성을 가지고 있다. 본 연구에서는 DC 플랜 가입자의 안정적인 자산관리를 위한 라이프사이클을 고려한 자산배분모형을 제시하고자 한다. 시뮬레이션 최적화 방법을 활용한 자산배분의 경우, 채권의 비중은 주식의 누적수익률 열세와 변동성으로 인하여 비조건부 자산배분과 주식에 대한 최저 투자비중을 고려한 조건부 자산배분에서 우세하게 나타나고 있다. 그러나 두 자산배분모형의 성과는 장기적으로 차이를 보이다가 기간이 축소되면서 차이가 크게 줄어드는 것으로 분석되었다.

• Journal of Labour Economics
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• v.38 no.4
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• pp.1-29
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• 2015

The Individual Retirement Pension (IRP) enables workers to continuously receive a retirement pension even when workers change their jobs in different companies and so it performs a bridge fund as the complimentary living expenses until they receive government public pension. Although the Korean government has forced workers to maintain an IRP account until their retirement age and to close their accounts only when they want to do so, it is not clear to measure its really effectiveness and, in fact, most of IRP accounts have been terminated immediately after the changes of their jobs. In this respect, IRP has not performed the bridge role for the future retirement pension income. We provide an economic decision-making model of both government and workers, where the retirement benefits related with the IRP are explicitly considered. Our model is required to select specific severance pay systems to maximize the income security and stability for their future old ages. It is concluded that the need of workers on the severance pay system is automatically revealed into the switch to IRP when workers are out from their current jobs, which is equivalent to the effect of gradually unifying the dual system of the retirement payment. In additoin, our empirical data indicates the relatively higher probability of termination on IRP for the older male workers having the more retirement deposit.

• Journal of the Korea Society for Simulation
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• v.33 no.1
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• pp.27-34
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• 2024

This study aims to propose an optimal asset allocation that minimizes the risk of insufficient realized replacement rates compared to the OECD average replacement rate. To do this, we set the shortfall risk of replacement rates and calculates an asset allocation plan to minimize this risk based on the period of enrollment, the income level and additional contribution. We consider stocks and deposits as investment assets, using Monte Carlo simulation with a GBM model to generate return distributions for stocks. Our result show that, for individuals with a enrollment period of less than 30 years, participants should invest a minimum of 70-80% of their funds in risky assets to minimize the shortfall risk. However, the proportion of funds that need to be invested in risky assets declines significantly when participants contribute an additional premiums. This effect is particularly pronounced among low-income individuals. Therefore, to achieve OECD average replacement rates, the government needs to incentivize participants to invest more in risky assets, while also providing policies to encourage additional contributions, especially for the low-income population.