行政院版之國民年金草案有二個特點，一是提供最低收益保證，二是個人、地方及中央政府之保險費分攤比例受到個人的所得狀態與健康狀態影響。本研究主要是討論最低收益保證對於國民年金基金之最適資產配置決策的影響。本文研究方法有二，第一，採用線性隨機規劃方法來描述資產配置最適化問題，並求得各期之資產配置金額的最佳解。第二，以Copula方法來描述所得狀態與健康狀態的相關性，建立國民年金基金之負債面現金流量模型。本研究發現，（1）健康狀態與所得狀態之相關性，不影響整體現金流量金額；（2）最低收益保證要求同時降低投資風險及預期投資績效；（3）交易成本使得動態調整資產配置比例策略的投資報酬率不一定優於固定資產配置比例策略。

Two outstanding characteristics of the National Pension Program (NPP) proposed by the ROC Executive Yuan are: the minimum return rate guarantee and the differential premium shares in accordance to a person's income level and health conditions. This report focuses on assessing the effects of minimal return reate guarantee on NPP's optimum asset allocation decision. The research is conducted in two ways. First, the asset allocation decision process is examined through linear stochastic proramming approach, under the assumptions of dynamic asset allocation capability, minimal return rate guarantee, and other investment constrains. The optimal solutions of the process can then be determined. Second, the Copula function approach is used to obtain the co-variations between income level and health conditions in order to establish the liability cash flow model for the National Pension Program. The result of our analytical exercises reveals that, (1) the correlation assumptions between income level and health conditions have on visible effect on total NPP cash flow; (2) the minimal return rate guarantee could decrease both the investment risk and expected return as well; (3) due to the existence of transaction costs, the dynamic asset allocation strategy does not always outperform the fixed-ratio asset allocation strategy.