退休制度的建立是維持勞工退休後的生活水準的重要保障制度，而政府積極規劃國民年金制度及制定勞工退休金條例草案，以進一步確保國民退休後的經濟生活。勞工退休金條例草案中明定，勞工可以選擇個人帳戶制或附加年金制作為其退休金制度。在草案第十六條給予勞工一個轉換選擇權，勞工可以在選擇適用本條例之退休金制度後五年內，變更其選擇二次。本論文利用蒙地卡羅模擬法來分析勞工退休條例草案之轉換選擇權的價值。利用台灣金融市場投資報酬率、薪資成長率、失業率與人口死亡率資料，模擬計算附加年金制遠期契約與轉換選擇權價值。 在風險中立下，所有年齡與性別的勞工的附加年金制遠期契約價值皆為正值，主要原因為年金給付率太高。在敏感度分析中，影響附加年金制遠期契約價值的因子為：投資策略的標準差、年金給付率、個人薪資成長率、全體勞工平均薪資成長率與平均餘命。而使得轉換選擇權價值大於零的因子為：年金給付率與全體勞工平均薪資成長率。 The pension schemes are important to prevent workers from low standard of living after their retirement. Recently, the Executive Yuan has passed “Draft of Labor Pension Act”. According to the current draft of the above pension act, workers are allowed to choose one of the following two pension systems：Individual Account system and Supplementary Annuity system. Once a worker chooses a specific pension system, he has the right, which is equivalent to an exchange option, to change his choice twice within the first five years. In this study, I use the Monte Carlo simulation method to evaluate the exchange option of Draft of Labor Pension Act and the historical return data of Taiwan’s financial market, the salary growth rate, the unemployment rate, and the mortality rate to calculate the forward contract value of Supplementary Annuity system. The main reason that the forward contract value of Supplementary Annuity system is positive for all workers is the high rate of annuity payment. The standard deviations of the investment strategies, the rate of annuity payment, the salary growth rate, and the mortality rate are important factors to affect the value of the forward contract and the exchange option.
