Endowment insurance is the most important part of social insurance. In terms of proportion, pension funds currently account for more than 90% of social insurance funds. For example, in196, the balance of social insurance fund reached 6 10 billion yuan, of which the balance of endowment insurance fund was 57.8 billion yuan. According to statistics, during the period of 1995, the income of the national basic old-age insurance fund was 95.006 billion yuan, and the expenditure was 83.647 billion yuan. The balance of that year was1135.9 billion yuan, with a rolling balance of 42.98 billion yuan over the years. In terms of the use of funds, the bank deposit is 2510.60 billion yuan, accounting for 58.54%; Buy state bonds. 500 million yuan, accounting for 16.58%, and 5.94 billion yuan was used, accounting for 13.83%. 1996 national basic endowment insurance fund income11765438+76 million yuan, expenditure10365438+87 million yuan, with a rolling balance of 57.856 billion yuan over the years. 1997 national basic old-age insurance income1337.9 billion yuan, expenditure12565438+300 million yuan, with a balance of 8.66 billion yuan in that year and a rolling balance of 67.525 billion yuan over the years. Since the reform of social security provident fund model, the accumulation of funds has increased year by year, and the endowment insurance fund has now become a huge sum. Its investment and application not only determines whether social endowment insurance can be carried out, but also affects China's capital construction and capital market.

1July, 997 16 "Decision of the State Council on Establishing a Unified Basic Old-age Insurance System for Enterprise Employees" stipulates: "The basic old-age insurance shall be managed by two lines of revenue and expenditure, with special funds earmarked, and misappropriation and extravagance are strictly prohibited. Except for the payment fee equivalent to two months, the fund balance should be fully purchased and deposited in a special account, and it is strictly forbidden to invest in other financial and business undertakings. "

As can be seen from the above, according to the regulations, pension funds can only exist in banks or purchase government bonds to preserve and increase their value. However, neither of these two methods can achieve the purpose of maintaining and increasing value. First of all, from the perspective of bank deposits, during the period of 1985- 1 1, the weighted interest rate of one-year term lump-sum deposit of bank deposits was seven years lower than the inflation rate of that year (1985,1) Looking at the national debt, because there are fewer kinds of national debt, although the yield is generally about one percentage point higher than the bank deposit interest rate in the same period, it is not as attractive as bank deposits because of the lack of a perfect secondary market. The current situation of the pension fund also illustrates this point. For example, the accumulated balance of pension and unemployment insurance funds in 1994 was 37.699 billion yuan, of which only 81980,000 yuan was purchased, accounting for 21.74% of the balance; At the end of 1995, the balance of China's national debt was 330.03 billion yuan, while the national debt purchased in that year was only 9.05 billion yuan, accounting for only 16.58% of the fund balance in that year. The main reason is that there are few varieties of national debt and low returns. In addition, relative to inflation, the ability to preserve the value of national debt is doubtful. Taking national debt as an example, during the period of 1985- 1995, the yield of national debt exceeded the retail commodity price index of that year only for five years, and for the other six years (1985, 1988, 1989).

Source: According to the relevant data of China Statistical Yearbook; The data of bank deposit interest rate come from (1) Zhou Zhongming and Dai Wengui. Practical interest rate knowledge. Nanjing University Press, 1992. (2) Planning and Finance Department of China People's Bank. Handbook of practical interest rates. China Finance Press, 1997.p4 1-42.

Note: ① In order to eliminate the influence of compound interest and simple interest on the calculation results, this paper replaces the longer-term data of simple interest calculation with one-year data (the actual rate of return after one-year interest rate compound interest calculation is not lower than the actual rate of return of simple interest of larger data in the same period).

② 1 99065438+1October1April 15, annual interest rate1.34%, April 16 to August 2/kloc.

② The one-year interest rate is calculated according to compound interest, in which 1979 is 3.96%, 198 1 5.04%, 1982 is 5.58%, 1983,1983.

Generally speaking, due to the limitations of the investment and application of pension funds in China, the fund's rate of return is low, which on the one hand makes the fund depreciate gradually, and on the other hand makes the target replacement rate (which is determined on the assumption that the rate of return of pension funds is equal to the wage growth rate in China) impossible to achieve, thus shaking China's social endowment insurance system. As can be seen from the table 1, the rate of return of pension funds is much lower than the wage growth rate, and the actual accumulated amount of personal accounts cannot reach the target accumulated amount. If the investment portfolio of dependent insurance funds is not adjusted in time to improve the rate of return, China's endowment insurance will soon fall into the crisis of "being forced to increase the contribution rate-enterprises are overwhelmed and individuals are unable to insure-the endowment insurance system collapses".

Second, adjust the organization: the premise of improving the return on investment of China endowment insurance fund

1. Overall conception of adjustment mechanism

From the current situation of the use of pension funds in China, it can be seen that their use is limited to deposit in banks and purchase of government bonds, with a low rate of return, and fund owners directly use pension funds. Today, with highly developed relations of production and increasingly fine division of production, it has exceeded its capacity. Therefore, it is very urgent and necessary for the fund owner to entrust the fund operator to invest and operate the fund. Therefore, it is necessary for us to introduce the principal-agent relationship to analyze the practical ways to improve the income of the endowment insurance fund.

In the past, the use of pension funds in China was limited to buying government bonds and depositing them in banks, and there was no need for special investment institutions at all. The introduction of principal-agent relationship in pension fund investment should start with institutional adjustment.

In view of the lack of specialized pension fund investment institutions in China, the number of suitable investment tools in the capital market is limited, and the channels for the operation and appreciation of pension funds are also limited. The adjustment mechanism should not be a local repair, but a global change (see figure 1). "

First of all, we have a brief historical review of the reform of urban endowment insurance system in China. China started from 1984, when state-owned enterprises implemented social pooling of retirement fees. In recent years, there have been three major advances in this thousand changes. 1.1991June, the State Council issued the "Decision on the Reform of the Old-age Insurance System for Enterprise Employees", clearly implementing the social pooling of the old-age insurance, with the expenses shared by the state, enterprises and individual employees and the funds partially accumulated. Second,1In March, 1995, the State Council issued the Notice on the Reform of the Old-age Insurance System for Enterprise Employees, which made it clear that the cost of the old-age insurance in the base year should be shared by enterprises and individuals, and the system of combining social pooling with individual accounts should be implemented, gradually forming a multi-level old-age insurance system including basic insurance, supplementary insurance for enterprises and personal savings insurance. Iii.1The Decision of the State Council on Establishing a Unified Old-age Insurance System for Enterprise Employees issued by the State Council in July 1997 effectively solved the problems of disunity and decentralized management of the basic old-age insurance system, and adapted to the requirements of establishing a socialist market economic system and strengthening macro-control of social insurance.

The unification of 1997 has changed the chaotic situation of water management in pension insurance groups and effectively solved the problems of many policies and high management costs. The newly established Ministry of Labor and Social Security (hereinafter referred to as the Ministry of Labor and Social Security), as the national social insurance management institution, exercises the functions of the owner of the endowment insurance fund, that is, assumes the role of the fund legal person. As the highest authority of social security, the Ministry of Labor and Social Security shoulders the dual responsibilities of administrative management and career management of endowment insurance. As mentioned above, the Ministry of Labor and Social Welfare lacks investment experts and systematic investment knowledge, so direct investment is bound to set up its own investment institutions and increase the management cost of funds. Using specialized investment institutions directly in the capital market can not only effectively transfer risks, but also be different from saving costs. Entrusting specialized agencies to invest can increase the competitiveness of services and increase the transparency of management.

In this way, a basic problem faced by pension fund investment is how to choose the right investors. The investment institutions that pension fund legal persons can choose are mainly financial intermediaries in the capital market, such as banks, insurance companies, trust and investment companies and securities brokerage companies. In China, due to the underdeveloped financial market, in order to effectively reduce the investment risk of pension funds, large banks should be used. Establish insurance companies and other joint-stock non-bank financial institutions-Social Security Fund Administration (hereinafter referred to as the Social Security Fund Administration) as specialized investors in pension funds. The Bureau can be a limited liability company directly under the State Council, which is in parallel with China Everbright and CITIC Group. It is completely enterprise-oriented, self-managing, self-financing and independent accounting. The Social Foundation Bureau implements the general manager responsibility system under the leadership of the Council, and can set up branches in provinces with active national economy and large endowment insurance fund balances according to the scale of endowment insurance funds around the country to directly coordinate the operation of endowment insurance funds in this province. In the western region, where the economy is inactive and the endowment insurance fund is small, we can consider setting up penny institutions in economic center cities such as Xi and Chengdu to be responsible for the fund operation in several provinces, so as to save unnecessary expenses for setting up new institutions. At the same time, set up a board of supervisors in the Social Foundation Bureau. As the supervisory body of the Social Foundation Bureau, it supervises the use and operation of funds, but does not interfere with the specific business of the Social Foundation Bureau. Of course, because the shareholders of the Social Security Bureau are all large banks and insurance companies, with strong economic strength and rich investment experience, they are generally not worried about bankruptcy due to poor management.

In addition, in order to ensure the smooth progress of pension fund investment and pension insurance management, we can consider setting up social security administrative supervision committee (hereinafter referred to as banking supervision committee) and social security social supervision committee (hereinafter referred to as social supervision committee). The Banking Regulatory Commission is led by the government audit and supervision department, with the participation of personnel from financial institutions, banks, labor and social welfare departments and other institutions, and is subordinate to the audit department. The Social Supervision Committee is led by the National People's Congress and trade unions, and its members include enterprises, workers, Democrats and experts, and are subordinate to the Standing Committees of the National People's Congress at all levels. The responsibility of the two supervisory bodies is to supervise the formulation and implementation of social security policies, including endowment insurance, and the operation of funds. The two board of supervisors and the board of supervisors of the Social Security Bureau supervise the Social Security Bureau from inside and outside to ensure the preservation and appreciation of the endowment insurance fund and the smooth progress of social security.

The endowment insurance fund is related to the food, clothing, housing and transportation of employees in enterprises all over the country, and the national policy should support it. We can consider emulating the operation of the Agricultural Development Bank and becoming a social security bank /boss. As a professional policy bank supporting the national social security cause, we can set up branches in Shanghai, Guangzhou, Xi, Nanjing, Tianjin, Chengdu, Wuhan, Jinan and Shenyang with reference to the institutional setup of the People's Bank of China. The part of the endowment insurance fund used for deposit can be deposited in the bank, and the endowment insurance fund can give more favorable interest rate, calculate interest according to compound interest, and subsidize the preservation of the endowment insurance fund deposit. When the social security bank is unable to pay the subsidy, it can make up the loss by finance. When the rate of return of the maintenance insurance fund is high, the endowment insurance investment risk reserve can be drawn from the part exceeding the inflation rate of the current year according to a certain proportion, which can be deposited in the social security bank and enjoy preferential interest rates. The People's Bank of China shall reduce or exempt the business tax from the interest income of loans issued by social security banks from the deposits of pension funds, and provide practical support for social security banks to give preferential interest rates to pension funds. Although the yield of buying government bonds with pension funds is generally higher than that of bank deposits, at least this part of government bonds should be preserved and subsidized today when inflation is prevalent. We can consider issuing special treasury bonds by social security banks, which will be specially subscribed by social security bureau with endowment insurance funds, giving a higher yield. When there is unexpected high inflation, subsidies will be given to ensure the preservation of the endowment insurance fund. The profits of social security banks can be used to support undertakings closely related to endowment insurance, such as purchasing office equipment of social security bureaus.

2. Game analysis of principal-agent

The biggest problem faced by the fund is how to ensure that these investment institutions can act according to the investment wishes or strategies of the fund owners, which involves several basic problems in the principal-agent relationship. It is generally believed that in the case of asymmetric information, in order to reach a binding and effective contract between the principal and the agent, the following three basic conditions need to be met: (1) The agent chooses specific business actions based on the principle of maximizing the effectiveness of actions, that is, the so-called incentive compatibility conditions; (2) In the case of "natural" interference, it is a condition of participation that the income obtained by the agent after performing the contract responsibility cannot be lower than the predetermined income; (3) After the agent executes this contract, the principal gains the maximum benefit, and the adoption of other contracts cannot make the principal's benefit exceed or equal to the utility obtained by executing this contract, which is the condition of maximizing the benefit.

However, in the case of imperfect principal-agent contract, there are four insurmountable difficulties, which make the principal-agent between the Ministry of Labor and Social Affairs and the Social Foundation Bureau have potential risks. First, the interests are different. In order to maximize its own interests, the Social Security Bureau sometimes takes short-term actions or takes too risky actions. Second, the responsibilities are not equal. The agent has the right to operate the endowment insurance fund, but only bears limited responsibility for profit and loss. As the client, the Ministry of Labor and Social Affairs lost the right to operate the fund, but ultimately assumed the responsibility for profit and loss. This unequal responsibility makes the agent make irresponsible decisions. The third is information asymmetry. Due to the increasing information advantages of agents and the marginal cost of obtaining information, the social foundation bureau with the right to operate the fund has both motives and the possibility of deceiving the client (Ministry of Labor and Social Affairs), and it is difficult for the client to supervise and restrain the agent. The fourth is that the contract is incomplete. Under an incomplete contract, agents always have loopholes to drill. Strengthening the incentive mechanism of the principal to the agent will make the agent consciously act according to the wishes of the principal after comparing the benefits and costs. Assume that the objective function of the principal is y = y (x); The objective function of the subject is: X=X(a, w), and a is the decision variable of the subject, which can represent his efforts. W is an exogenous random variable that is not controlled by the principal or agent. This means that the management quality of agents is determined by their efforts and external uncertainties. 1996 Mirlis, the winner of the Nobel Prize in Economics, pointed out that if W has a certain boundary, that is, the influence of W on X is within an observable range, even if the information is asymmetric, the principal can warn or encourage in advance, so that the agent will not choose a lower level of effort, and both the principal and the agent will get a satisfactory level of income.

When the capital market is underdeveloped, there are few investment tools available in the market, and the risks are not easy to disperse and transfer. At this time, the government takes strict control measures to stipulate the use and proportion of pension funds. If the capital market is developed, the agent will mainly invest in the pension fund in three ways: first, pay the insurance premium to the insurance contract through some form of deferred annuity policy, that is, use the pension fund to purchase life insurance policies. The second is to transfer the investment of foundation members into the asset portfolio, which is called "separation fund". The third is to invest in a single portfolio with other fund portfolios, which is called "the same fund". In fact, successful agents will seek a certain proportion of the above three forms of investment.

It is assumed that the Social Security Bureau can choose the most favorable investment mode by weighing and comparing, that the pension fund will depreciate only when it is deposited in the bank and the country of purchase, and the net income is-10. It is assumed that there are two natural states, good and bad, and the probability of good state is 0.8 due to the good macroeconomic situation in China. In addition to operating the endowment insurance fund, the Social Security Bureau can get 40% of the income at most, and the cost of the effort is 20%, and its net income is 20%. In the principal-agent relationship, fund owners and managers have two ways of profit distribution: proportional sharing (for the convenience of analysis, this paper takes 50-50 as an example temporarily) and fixed income. Its payment matrix is shown in Figure 2:

Proportion (50-50) share

Note: ① The income distribution of operators is a function of hard work and nature. For the convenience of analysis, this paper ignores the general situation of efforts and assumes that operators only have two strategies: efforts and non-efforts. Hard work means that the operator tries his best and always achieves the optimal portfolio strategy. Not working hard means that operators still keep their funds in banks and buy government bonds. In these two cases, the labor paid by the operator is 20 and 5 respectively. In order to simplify the problem, under the "good, hard" collocation, the fund income is 100, "bad, hard" is -50, and the other two cases (good, hard; Not good, hard) are all 0. It is also assumed that the owner does not engage in profitable activities after entrusting the endowment insurance fund to the agent, and the fund income comes from the investment income of the operator. When operators don't work hard, they have no time to engage in other profitable activities because of contractual constraints.

② 30 = 50-20, and 20 is the cost of the operator's efforts.

③- 15 = (- 10)+(-5), where-10 represents the actual income when the pension fund is only used for bank deposits and national debt. Because this paper mainly studies the principal-agent situation, the difference between "natural" and "bad" is omitted when the fund is only used for bank deposits and government bonds without entrusting specialized institutions to invest. 5 refers to the above two ways to participate in the management of endowment insurance fund labor.

④ 40 = 60-20. When the economic environment is good, the income from hard work is 100. If the operator pays the owner more than 40, and deducts the cost of hard work from 20, he will get 40.

⑤-60=0-40-20, where 40 is the fixed amount paid by the operator to everyone and 20 is the hard cost of the operator.

It can be seen that under the profit distribution mode of proportional sharing or fixed income in Figure 2, no matter what happens naturally, as long as the operator accepts the agency contract, the operator's efforts are always better than no efforts, that is, the strategy of no efforts is a strictly inferior strategy that can be eliminated relative to efforts. In the fixed income mode, everyone's income of 40 is greater than-15, so "commission, effort" is the refined Bayesian Nash equilibrium point. Under the proportional sharing method, because the operator will choose to work hard, the expected income of all people = 0.8 * 50+O.2 * 0 = 40. Moreover, 50,0 is also greater than-15. We can draw the following conclusions: No matter how to distribute benefits, "entrusting and working hard" is the inevitable choice of all owners and operators. Our further research shows that in the above two cases, the operator's expected income (net income) is 20. However, operators who engage in work other than the operation of pension funds can get at most 20% of the net income, and rational operators may not necessarily accept the principal-agent contract. And the more risk-averse the operator, the more likely he is to refuse the contract.

Wise owners can change the ratio of 55/50 to 46/50 to improve the expected income of operators, and all owners will still get much higher income than when they operate (not entrusted). We can consider reducing the fixed income of all owners to 35 and increasing the expected income of operators to 25. Theoretically, it can be divided into nine proportions or the fixed income of all people can be reduced below 5, or it can be divided into five proportions or the fixed income of all people can be set at 40.

What kind of profit distribution mode to choose and how much proportion or fixed income to determine depend on the game process, supply and demand situation and agent type. At the present stage in our country, the owner of the endowment insurance fund is unique. If the competition mechanism is introduced to produce more pension fund operators, the final principal-agent contract will be beneficial to everyone, and a contract with a share close to 50/50 or a fixed income of 40 will be formed. In the case that the agent's financial affairs are open and relatively independent, proportional sharing is the most effective institutional arrangement for the principal and the agent to share the surplus. However, if the agency (agent) is risk-neutral, fixed income is an effective way regardless of the attitude of the Ministry of Labor and Social Affairs (client) to risk. In the process of game between commercial banks and enterprises, enterprises also accept fixed income, and the fixed income of commercial banks is expressed as loan interest agreed in advance. After the fixed income is entrusted to the agent, the fund owner successfully transfers the risk and the agent obtains the residual claim. At this time, it is optimal for the agent to work extremely hard. For the client, although the division and partial transfer of the residual claim have harmed the client's interests, it is still a Pareto improvement compared with the operation of the client's self-care fund. Because, from a dynamic point of view, because the agent has obtained part of the residual claim, his enthusiasm has improved. Using his professional investment technology, the investment income of the pension fund can be increased, so that the client can get higher income than when he takes care of himself.

Of course, the insurance market, especially the long-term life insurance market, can meet this requirement because the Social Security Bureau also needs to control and pass on huge risks when investing in family insurance funds. The Social Security Bureau can transfer risks to the commercial insurance market by purchasing reinsurance or long-term life insurance policies. The basic management structure of endowment insurance fund investment is shown in Figure 3.

It is worth noting that it is still the basic premise to adjust institutions and give corresponding rights to key institutions such as the Social Foundation Bureau. Imagine, if the social foundation bureau as an agent faces interference from all aspects of society, the influence of W on X in its objective function is so great that random variables cannot be defined in a certain range and cannot meet the basic premise of no Mirrless, which makes the relationship between the efforts of the social foundation bureau and income X vague and it is difficult to establish an effective restraint mechanism.

Setting up an endowment insurance management institution according to the requirements of Figure 1 and operating according to the requirements of Figure 3 can create good external conditions, organization and personnel preparation for endowment insurance fund investment. However, if we really want to improve the fund's rate of return, we should also make efforts in three aspects: legislation, controlling inflation and developing the capital market. Limited by space, this article will not discuss these three aspects. (Figure omitted)