a*****b
发帖数: 2789 | 1 做pension的谁能提供一个中精的mortality table给算一下，这个fixed annuity政府
到底要贴钱不？ |
M***e
发帖数: 836 | 2 ignore all the mortality, other actuarial factors, survival benefits etc for
a sec. take the life expectancy (78?), for example, you end up with roughly
18 yrs of benefit payment, which means the initially 68k has to yield at
least 8% a year to keep up with the pace of the payments. given the BEI and
real yield, I say this is quite aggressive (esp sincr the mkt is expecting a
more contained inflation for the next few yrs), unless on the investment
side people start to engage in non fixed income shenanigans like property
related stuff or shadow banking. if I remember correctly, a lot of Chinese
high yield issuers are only yielding 8-9% a yr.
【在 a*****b 的大作中提到】
: 做pension的谁能提供一个中精的mortality table给算一下，这个fixed annuity政府
: 到底要贴钱不？
|
w******w
发帖数: 362 | 3 如果人均寿命是72呢？你觉得还Aggressive吗？
6万8给600一个月，对承包人而言是个Great Deal，我很好奇这么好的生意，中国的商
业保险公司为什么没做，难道好生意只能政府做？
for
roughly
and
a
【在 M***e 的大作中提到】
: ignore all the mortality, other actuarial factors, survival benefits etc for
: a sec. take the life expectancy (78?), for example, you end up with roughly
: 18 yrs of benefit payment, which means the initially 68k has to yield at
: least 8% a year to keep up with the pace of the payments. given the BEI and
: real yield, I say this is quite aggressive (esp sincr the mkt is expecting a
: more contained inflation for the next few yrs), unless on the investment
: side people start to engage in non fixed income shenanigans like property
: related stuff or shadow banking. if I remember correctly, a lot of Chinese
: high yield issuers are only yielding 8-9% a yr.
|
M***e
发帖数: 836 | 4 here is my 2 cents. an expectancy of 72 roughly means a yield of 5% (agreed?
) that is not to say I agree with the 72 yr figure - the avg life expectancy
of people in this program will tend to tilt toward the high end of the
range (for instance, people with cancer will be less likely to participate,
if the program itself isn't mandatory). you also need a reasonable margin to
account for the overhead cost and pricing error etc. all in all, a 5% of require return
doesn't leave you much room for maneuvering. the financial instruments you
can use is fairly limited (gov bonds, some corp bonds, some munis, prob no
equity, fair?)
I don't get why you think this could be a good deal for commercial companies
(unless I see your math), but here are my thoughts on why this should be
administered by govt/quasi-gov organizations, as in the case of many social
insurance programs. private companies typically own limited liability, and
in this case, let's say hypothetically china sees a deep rate compression,
then these guys will be more than likely forced out of biz (unless this
thing operates under a separate account structure with specific collateral
or gov guarantee supporting the liability). to put this in layman terms,
private companies dont offer the same protection that a gov agency could,
the latter of which usually have unlimited (arguably) tax power (refer to
the us social security program).
to draw a more simpler comparison, why dont you take a look at your 401k.
believe most vendors offer some sort of lump sum / annuity calculator, which
can give you an idea of how things are priced here.
【在 w******w 的大作中提到】
: 如果人均寿命是72呢？你觉得还Aggressive吗？
: 6万8给600一个月，对承包人而言是个Great Deal，我很好奇这么好的生意，中国的商
: 业保险公司为什么没做，难道好生意只能政府做？
:
: for
: roughly
: and
: a
|
I**R
发帖数: 1309 | 5 啥东东？给个background呀...
【在 a*****b 的大作中提到】
: 做pension的谁能提供一个中精的mortality table给算一下，这个fixed annuity政府
: 到底要贴钱不？
|
a*****b
发帖数: 2789 | 6 我这个问题问得好啊，把大神你给憋出来了！
我之前到没想到bias的问题，确实因为这是自愿的买卖，投保人的平均寿命肯定会比国
民平均长，但有2点我觉得政府还是有的赚，第一是有很多买这个annuity的人平均年龄
不到60岁，农村很多人55岁就算大爷了。而且这个annuity的面向对象都是穷人，大家
的保险逻辑会比普通人提前，所以政府有5年左右的nonpayment投资期；第二是国内的
长期通胀很高，所以即使8%的绝对收益率也不高。但想到屁民其实对通胀持有容忍态度
，而且屁民的投资途径很少，第二条对个人影响不大，但政府就赚翻了。
不知道这是不是对养老金全面入市的一个探路石，不是都吵吵了好久了么，虽然已经有
小部分进入股市了...
agreed?
expectancy
,
to
require return
companies
【在 M***e 的大作中提到】
: here is my 2 cents. an expectancy of 72 roughly means a yield of 5% (agreed?
: ) that is not to say I agree with the 72 yr figure - the avg life expectancy
: of people in this program will tend to tilt toward the high end of the
: range (for instance, people with cancer will be less likely to participate,
: if the program itself isn't mandatory). you also need a reasonable margin to
: account for the overhead cost and pricing error etc. all in all, a 5% of require return
: doesn't leave you much room for maneuvering. the financial instruments you
: can use is fairly limited (gov bonds, some corp bonds, some munis, prob no
: equity, fair?)
: I don't get why you think this could be a good deal for commercial companies
|
a*****b
发帖数: 2789 | 7 今天军版疯狂讨论呀。
是天朝的一个养老金计划，一次性缴6万8，从60岁开始领600到死
【在 I**R 的大作中提到】
: 啥东东？给个background呀...
|
M***e
发帖数: 836 | 8 8%绝对收益很高了，国内基本做不到的，反正我们这边肯定是做不出来的。你要知道，
养老金在投资方面是很受限制的，在亚洲的话，养老金基本只能投债券，比如韩国的规
定是至少90% investment grade fixed income，国内也是差不多的概念，股票，高收
益债券，和其他一些assets是基本不做的。
通货膨胀是另一个问题，现在的CPI应该是6%多一点，过去几年的通货膨胀很大程度是
由银行的货币政策导致的，在接下来的几年，人民币不会永远涨下去，所以通货膨胀应
该是下行走势。过去几年国债real yield应该都是负的，就好像米国这边一样，米国现
在的十年国债收益2%左右，但是break even inflation是2.5%。按照这么算的话，实在
想不出怎么样的asset allocation可以做到8%. 我印象里面能做到8%貌似只有巴西，
国债收益10-13%。
【在 a*****b 的大作中提到】
: 我这个问题问得好啊，把大神你给憋出来了！
: 我之前到没想到bias的问题，确实因为这是自愿的买卖，投保人的平均寿命肯定会比国
: 民平均长，但有2点我觉得政府还是有的赚，第一是有很多买这个annuity的人平均年龄
: 不到60岁，农村很多人55岁就算大爷了。而且这个annuity的面向对象都是穷人，大家
: 的保险逻辑会比普通人提前，所以政府有5年左右的nonpayment投资期；第二是国内的
: 长期通胀很高，所以即使8%的绝对收益率也不高。但想到屁民其实对通胀持有容忍态度
: ，而且屁民的投资途径很少，第二条对个人影响不大，但政府就赚翻了。
: 不知道这是不是对养老金全面入市的一个探路石，不是都吵吵了好久了么，虽然已经有
: 小部分进入股市了...
:
|
w******w
发帖数: 362 | 9 Will you still think that the potential buyers will live beyond 72 on
average if you consider?:-)
1. The eligible population for this program are poor farmers who tend to be
lack of good nutrition and healthcare to live beyond national average life
exp;
2. They are not as smart as an actuary like you to have a good estimate of
your own life exp at age 55 so anti-selection may not be a material issue
here;
I believe that reasonable rate of return for pension fund is 8%-10%. For a
rapidly developing country like China, it is expected to be higher. So I do
not think that your 5% is a reasonable assumption here.
agreed?
expectancy
,
to
require return
companies
【在 M***e 的大作中提到】
: here is my 2 cents. an expectancy of 72 roughly means a yield of 5% (agreed?
: ) that is not to say I agree with the 72 yr figure - the avg life expectancy
: of people in this program will tend to tilt toward the high end of the
: range (for instance, people with cancer will be less likely to participate,
: if the program itself isn't mandatory). you also need a reasonable margin to
: account for the overhead cost and pricing error etc. all in all, a 5% of require return
: doesn't leave you much room for maneuvering. the financial instruments you
: can use is fairly limited (gov bonds, some corp bonds, some munis, prob no
: equity, fair?)
: I don't get why you think this could be a good deal for commercial companies
|
s******2
发帖数: 5274 | 10 I believe the average life expectancy is only 70
of course, that is several years ago... |
|
|
M***e
发帖数: 836 | 11 where did you come up with 8-10%? based on your gut or your research? if the
latter can you source the research or market data? you can't just make up
capital market assumptions right? return assumption should be reflective of
current market pricing and regulatory constraints.
just checked bloomberg. Chinese 10 yr gov bonds are trading at around 3.5%
right now. aggregate corporate bonds have an avg yield to mat of 3.7%. high
yields are yielding 7-8%. we all know the equity market in china is not at
all reliable when it comes to return generation. so I would be delighted to
learn how one arrives at the 8-10% of expected return.
again, show me your math if you wanna discuss in a more rigorous manner. it'
s more convincing when you can present facts rather than opinions.
【在 w******w 的大作中提到】
: Will you still think that the potential buyers will live beyond 72 on
: average if you consider?:-)
: 1. The eligible population for this program are poor farmers who tend to be
: lack of good nutrition and healthcare to live beyond national average life
: exp;
: 2. They are not as smart as an actuary like you to have a good estimate of
: your own life exp at age 55 so anti-selection may not be a material issue
: here;
: I believe that reasonable rate of return for pension fund is 8%-10%. For a
: rapidly developing country like China, it is expected to be higher. So I do
|
M***e
发帖数: 836 | 12 73 at birth per Wikipedia, including pple who die before 55 etc. been a long
time since I took actuarial exams, but the life expectancy at age 55 should
be higher than 73-55=18 right?
【在 s******2 的大作中提到】
: I believe the average life expectancy is only 70
: of course, that is several years ago...
|
f**********g
发帖数: 4709 | 13 补充一些信息：
1. 这个是并入社保医保的，不单是养老金，貌似还会随通胀调高支付金额. 因此要长
期实行，政府应该要贴钱。
2.这个暂时是地方政府实施的，各地交的和支付的金额都不一样。政策随时可能发生变
化。
【在 a*****b 的大作中提到】
: 今天军版疯狂讨论呀。
: 是天朝的一个养老金计划，一次性缴6万8，从60岁开始领600到死
|
w******w
发帖数: 362 | 14 Not my gut, not my research, it is based on my actuarial judgement:-)
Today's return (your so-called "fact") only speaks for today's market while
my return assumption (your so-callled "opnion") was developed based on the
average of 10-year bond return over the past decades. I never have imagined
that a qualified pension actuary would use the market return at a point of
time as an actuarial assumption for a pension fund expected to operate
continuously.
Keep in mind that the essence of actuarial profession is artistic actuarial
"opinion" instead of mechanical "fact".
the
up
of
high
to
it'
【在 M***e 的大作中提到】
: where did you come up with 8-10%? based on your gut or your research? if the
: latter can you source the research or market data? you can't just make up
: capital market assumptions right? return assumption should be reflective of
: current market pricing and regulatory constraints.
: just checked bloomberg. Chinese 10 yr gov bonds are trading at around 3.5%
: right now. aggregate corporate bonds have an avg yield to mat of 3.7%. high
: yields are yielding 7-8%. we all know the equity market in china is not at
: all reliable when it comes to return generation. so I would be delighted to
: learn how one arrives at the 8-10% of expected return.
: again, show me your math if you wanna discuss in a more rigorous manner. it'
|
M***e
发帖数: 836 | 15 I never said the snapshots were projected future returns. all I said is that
your estimates should be reflective of current market pricing/condition.
in fact think the prevalent market expectation is even lower than the yields
I quoted.
agreed that past 10 yr may be a good start for generating forward looking
assumptions, but you need to understand that the return of chinese bonds in
the past 10 yrs has been largely driven by rate compressions. with the rates
heading upward in the next few years (at least expected by most investors),
you wont get the same price appreciation (maybe offset by slightly higher
yields) going fwd. Also I don't know where you got your numbers from, but
the closest I could see in my system is the jp morgan embig div china index,
which only returned 6% ann. in the past 10 yrs. maybe you were looking at
something diff?
I'm not an actuary any more (even though I am still involved in some exam
designing), but I'd say when you look at implementing a successful social
insurance program, it's important to get the capital market assumptions
right before product design.
happy to discuss offline if you want to - don't want see this turning into a
troll
【在 w******w 的大作中提到】
: Not my gut, not my research, it is based on my actuarial judgement:-)
: Today's return (your so-called "fact") only speaks for today's market while
: my return assumption (your so-callled "opnion") was developed based on the
: average of 10-year bond return over the past decades. I never have imagined
: that a qualified pension actuary would use the market return at a point of
: time as an actuarial assumption for a pension fund expected to operate
: continuously.
: Keep in mind that the essence of actuarial profession is artistic actuarial
: "opinion" instead of mechanical "fact".
:
|
v*********y
发帖数: 667 | 16 这个你很难算的。
你需要的是四川的农村的Mortality table,而且买的人的健康状况肯定不错，有这么多
钱，还是家底可以的，而且愿意买，那。。。
【在 a*****b 的大作中提到】
: 做pension的谁能提供一个中精的mortality table给算一下，这个fixed annuity政府
: 到底要贴钱不？
|
I**R
发帖数: 1309 | 17 恩。问得的确好。咱不懂pension。前排热情围观。
我感觉这个plan对年轻人来说比较没有吸引力。目前中国的情况
会有多少人出6万8，去等比如25-35年之后的payment？
养老金的投资，我觉得在当前经济形势下对很多国家的plan都
有较大压力。有些国家已经开始投资比如real estate之类的了。
比重我不了解。呵呵。
【在 a*****b 的大作中提到】
: 我这个问题问得好啊，把大神你给憋出来了！
: 我之前到没想到bias的问题，确实因为这是自愿的买卖，投保人的平均寿命肯定会比国
: 民平均长，但有2点我觉得政府还是有的赚，第一是有很多买这个annuity的人平均年龄
: 不到60岁，农村很多人55岁就算大爷了。而且这个annuity的面向对象都是穷人，大家
: 的保险逻辑会比普通人提前，所以政府有5年左右的nonpayment投资期；第二是国内的
: 长期通胀很高，所以即使8%的绝对收益率也不高。但想到屁民其实对通胀持有容忍态度
: ，而且屁民的投资途径很少，第二条对个人影响不大，但政府就赚翻了。
: 不知道这是不是对养老金全面入市的一个探路石，不是都吵吵了好久了么，虽然已经有
: 小部分进入股市了...
:
|
d*******o
发帖数: 684 | 18 哦活活
once an actuary, you are always an actuary ;-)
that
yields
in
rates
),
【在 M***e 的大作中提到】
: I never said the snapshots were projected future returns. all I said is that
: your estimates should be reflective of current market pricing/condition.
: in fact think the prevalent market expectation is even lower than the yields
: I quoted.
: agreed that past 10 yr may be a good start for generating forward looking
: assumptions, but you need to understand that the return of chinese bonds in
: the past 10 yrs has been largely driven by rate compressions. with the rates
: heading upward in the next few years (at least expected by most investors),
: you wont get the same price appreciation (maybe offset by slightly higher
: yields) going fwd. Also I don't know where you got your numbers from, but
|
M***e
发帖数: 836 | 19 haha I'd like to think so, but soa says I'm non compliant.
long time no talk, hope things are going well?
【在 d*******o 的大作中提到】
: 哦活活
: once an actuary, you are always an actuary ;-)
:
: that
:
: yields
: in
: rates
: ),
|
a*****b
发帖数: 2789 | 20 年轻人不会去买的，对象应该是快到退休年龄的下岗国企或者纯正的农民。要不然就是
抢钱了
★ 发自iPhone App: ChineseWeb - 中文网站浏览器
【在 I**R 的大作中提到】
: 恩。问得的确好。咱不懂pension。前排热情围观。
: 我感觉这个plan对年轻人来说比较没有吸引力。目前中国的情况
: 会有多少人出6万8，去等比如25-35年之后的payment？
: 养老金的投资，我觉得在当前经济形势下对很多国家的plan都
: 有较大压力。有些国家已经开始投资比如real estate之类的了。
: 比重我不了解。呵呵。
|
|
|
a*****b
发帖数: 2789 | 21 这个不错，走英国模式，随通涨一起涨zf得贴钱了
★ 发自iPhone App: ChineseWeb - 中文网站浏览器
【在 f**********g 的大作中提到】
: 补充一些信息：
: 1. 这个是并入社保医保的，不单是养老金，貌似还会随通胀调高支付金额. 因此要长
: 期实行，政府应该要贴钱。
: 2.这个暂时是地方政府实施的，各地交的和支付的金额都不一样。政策随时可能发生变
: 化。
|
a*****b
发帖数: 2789 | 22 缴钱都不行么？已经把你拿下了？
★ 发自iPhone App: ChineseWeb - 中文网站浏览器
【在 M***e 的大作中提到】
: haha I'd like to think so, but soa says I'm non compliant.
: long time no talk, hope things are going well?
|
M***e
发帖数: 836 | 23 恩 缴钱也不管用 名字貌似还在
【在 a*****b 的大作中提到】
: 缴钱都不行么？已经把你拿下了？
:
: ★ 发自iPhone App: ChineseWeb - 中文网站浏览器
|
a*****b
发帖数: 2789 | 24 送战友。。。
★ 发自iPhone App: ChineseWeb - 中文网站浏览器
【在 M***e 的大作中提到】
: 恩 缴钱也不管用 名字貌似还在
|
f**********g
发帖数: 4709 | 25 年轻人有正常的养老金（那个三险还是五险一金），
这个政策其实一开始是为那些下岗职工准备的，很多年就有了，一次性补足养老金差额
（比如你50岁下岗，交1万补上50到60之间的差额。其实还有更复杂的条款）。
现在扩展到农民，其实还不错，就是不知道地方政府能否好好规划投资，保证政策的长
期执行
【在 I**R 的大作中提到】
: 恩。问得的确好。咱不懂pension。前排热情围观。
: 我感觉这个plan对年轻人来说比较没有吸引力。目前中国的情况
: 会有多少人出6万8，去等比如25-35年之后的payment？
: 养老金的投资，我觉得在当前经济形势下对很多国家的plan都
: 有较大压力。有些国家已经开始投资比如real estate之类的了。
: 比重我不了解。呵呵。
|
w******w
发帖数: 362 | 26 hehe.. I would leave those who are interested in the basics of capital
market to discuss with you about the average 10-year returns. What I am
interested in this pension plan is whether the government will provide
meaningful subsidy in the plan design. Farmers are the most vulnerable
population in China. Any such kind of "social" insurance plan without
meaningful subsidy is just a shame of the government.
And as a humble actuary, I do not want to share the shame to sell this plan
to the public.
that
yields
in
rates
),
【在 M***e 的大作中提到】
: I never said the snapshots were projected future returns. all I said is that
: your estimates should be reflective of current market pricing/condition.
: in fact think the prevalent market expectation is even lower than the yields
: I quoted.
: agreed that past 10 yr may be a good start for generating forward looking
: assumptions, but you need to understand that the return of chinese bonds in
: the past 10 yrs has been largely driven by rate compressions. with the rates
: heading upward in the next few years (at least expected by most investors),
: you wont get the same price appreciation (maybe offset by slightly higher
: yields) going fwd. Also I don't know where you got your numbers from, but
|
s*******0
发帖数: 3461 | |
