금리시나리오 모형이 최저이율 및 최저사망보험금 보증비용의 평가에 미치는 영향력 연구

초록

The business practice of valuing insurance liabilities are under transit from cost valuation to fair value valuation. This study focused on interest-sensitive whole life insurance and empirically analyzed the effects how the selection of interest rate models for the fair value valuation affects cost evaluation of guaranteed minimum options such as a guaranteed minimum interest rate (GMIR) and a guaranteed minimum death benefit (GMDB). First, we compared interest rate models in light of risk of guarantee costs, and the result shows that Ho-Lee (HL), Hull-White (HW), Black-Karasinski (BK) models are ordered from the greatest to the least with regard to standard deviation, skewness, kurtosis, VaR, ad CTE. Secondly, mean guarantee costs of a GMIR emerge mainly from their time values, and HL, HW, BK are ordered from the greatest to the least for them, whereas mean guarantee costs of a GMDB emerges mainly from their intrinsic values, but there is little difference between models. Third, a sensitivity analysis for investigating the effect of risk drivers on the mean guarantee cost shows that the sensitivity of GMIR on risk drivers is relatively lower than that of GMDB, since GMIR has only time values whereas GMDB has both intrinsic values and time values.

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