税收递延、退休财富目标与养老金双账户投资策略

本文基于商业养老保险的税收递延政策,考虑消费者在面临不同税收政策下的养老金双账户投资管理问题.基于生命周期理论,假定消费者在工作期间获得随机收入,主要用于消费、缴纳基本养老金和购买商业养老保险,并将商业养老保险投资到金融市场.消费者在退休时希望能够实现一定的财富目标,即基本养老金账户和商业养老保险账户的终端财富之和需要达到一定水平用于保障退休后的生活.消费者的目标是最大化工作期消费和退休时刻财富超过目标水平的期望效用.与已有文献不同,本文假定消费者的风险厌恶系数是时变的.运用鞅方法,本文得到最优消费与投资策略的解析式,并在此基础上考察模型重要参数对最优消费和投资策略的影响.结论发现税收递延政策有利于养老金参与者购买更多商业养老保险,有助于降低投资风险.

Tax deferral,terminal wealth target and double pension accounts investment

Based on deferred personal income tax policy and life cycle theory, this paper considers a problem of double pension accounts investment management under different tax policies and retirement wealth constraint. It is assumed that the consumer obtains a random income during working period; A proportion of income is mandatory for basic pension, and the rest is subject to independent choice of consumption and participation in personal commercial pension plan. In retirement, the consumer is faced with a wealth constraint, that is, the sum of terminal wealth of basic pension account and commercial pension account needs to be greater than a certain level of investment performance to guarantee retirement life. The consumer aims to maximize the expected utility from consumption and the terminal wealth exceeding the minimum performance. Unlike traditional utility function, it is assumed that the consumer have time-varying relative risk aversion. We provide an analytical characterization of the optimal consumption-investment strategy using the martingale approach, and present some sensitivity analysis. The results show that the deferred income tax policy is beneficial to pension participants to increase their contributions, reduce investment risks and expand the fund scale.