2차원 이항모형에서 변액연금의 최저보증비용 가치평가

초록

With the adoption of IFRS17, it is required to reflect the cash flow of the guarantee option inherent in variable annuities when evaluating liabilities. In this paper, the minimum guarantee fee and minimum guarantee amount of variable annuity GMAB are calculated by applying two-dimensional binomial model. This model has the advantage of incorporating changing interest rates at each interval, allowing for the consideration of macroeconomic shocks. Analyzing the sensitivity of the minimum guarantee fees and minimum guaranteed amounts to changes in interest rates and fund volatility, we found that the minimum guarantee fees increase as the fund volatility increases and the interest curve shift decreases. As a result of analyzing the minimum guarantee fee according to the insurance premium payment method, the minimum guarantee fee was smaller for the annual payment compared to the lump sum payment. The application of the proposed two-dimensional binomial model in this study is expected to assist insurance companies in their valuation and efficient risk management by enhancing their understanding of the sensitivity of minimum guarantee fees to fund volatility, interest curve shifts, and premium payment methods.

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