中文摘要
由於壽命的延長，全球老年人口比例不斷上升，為確保老年經濟生活安全，退休金給付規劃日顯重要。在退休金給付制度中，無論經由政策性計畫或商業性保險的購買，在計畫執行過程中隱含有多項的選擇權，此選擇權會影響到退休給付制度的成本與營運績效。為探究退休金選擇權與保證年金選擇權，及其各項影響因子對退休金給付金額及成本的影響，本論文包含以下兩個主題。
在第一個主題退休給付選擇權評價分析中，採用或有給付方法(contingent claim approach)，針對附有最佳選擇權之退休金給付進行評價。於評價過程中採用最小平方蒙地卡羅模擬法(least-squares Mote Carlo simulation)處理具有多個變數、提早脫退、隨機利率、隨機波動以及隱含選擇權特性之退休金給付，並產出員工加入至滿期各時點的退休金金額。此外，更進一步檢視各種不同情境下，提早脫退因子對退休金給付金額的影響。藉由本研究之模型與量化結果，可作為相關單位及員工規劃或選擇退休金給付之決策及執行時參考。
在第二個主題保證年金選擇權中，針對商業性變額年金保險商品附有保證年金選擇權進行評價分析，並依據中華民國精算學會「附保證給付投資型保險商品精算實務處理準則草案」規範，提出適用於保證年金選擇權的動態解約模型，並探究保單解約率受退休金資產收益率與保證年金金額的影響。另依據壽險業採用的年金生命表，建立保證年金選擇權評價模型，實證在動態解約率假設下，保證年金給付成本率並進行敏感性測試。經由數值產出結果顯示，保險業者對於附有年金保證之變額年金保險商品，若在定價時不考慮解約率，其保證年金給付成本會是高估的。本研究所建構之模型與所得結果可提供附年金保證選擇權之變額年金保險商品定價及風險管理參考。
最後，總結本論文之研究結果，並提出對退休金規劃及商品評價之建議以及未來研究方向。

ABSTRACT
The world is facing increasingly salient issues of aging as the population of people aged older than 65 years continues to grow. In this context, retirement programs are becoming more important, because people must rely on the pension benefits to support themselves for the rest of their lives, after they retire from work. In the retirement benefit system, whether through policy plan or commercial insurance purchased during the execution of these programs, the implicit option will affect the cost of retirement benefits and operational performance of the system. Therefore, the dissertation contains two topics on Pricing Retirement Benefit Options and Guaranteed Annuity Options.
The first topic is Pricing Retirement Benefit Options, we apply the contingent claim approach to evaluate retirement benefits with the options of choosing the maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex retirement benefits that feature the properties of multiple variables, early exercise, stochastic interest rates, and several embedded options. Furthermore, this study examines the impacts of different forms of early decrements of the value of retirement benefits with options. Our results show that the retirement benefits under the constant interest rate of Sherris (1995) are under-estimated. Moreover, the stochastic interest rate, correlation between risk-free interest rate and crediting rate, and entry age has significant impacts on the value of retirement benefits. By modeling and quantitative outputs the results of this topic can be used as references for pension plan or implementation of the decision.
The second topic is Pricing of Guaranteed Annuity Option (GAO) with considering policyholders’ surrender behaviors. The AIRC’s draft of “Actuarial guideline for investment guarantee insurance product” emphasizes that insurers should construct dynamic surrender model for pricing and sensitivity analysis. In this topic, firstly, we construct the surrender model (suggested by American Academy of Actuaries) and adapt surrender rates (recommended by the Standard scenario amount of Actuarial Guideline VACARVM-CARVM for variable annuities, NAIC). Next, the price of GAO is calculated based on 1997’s Taiwan Individual Annuity Table. Finally, we provide the numerical results and sensitivity analysis on various scenarios including guaranteed annuity rates, terms of the contract, mortality tables, and economic situations. Our results show that the insurer will over price the GAO product when the surrender behaviors are ignored. The results can provide references for variable annuity insurance products pricing and risk management.
Keywords: retirement benefit, American option, stochastic volatility, stochastic interest rate, guaranteed annuity option

參考文獻
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三、 網路部分
1. 內政部統計處, 2014, ｢內政部統計通報｣
http://www.moi.gov.tw/stat/news_content.aspx?sn=8057
2. 銓敘部, 2013. 公務人員退撫制度改革相關議題問答集, 第3頁
http://psn.nttu.edu.tw/files/15-1032-22334,c4672-1.php