기본보험료와 추가보험료 납입에 대한 동적 계약자행동 - 하향식 및 상향식 접근법 -

초록

The Korean insurance industry plans to implement IFRS17 scheduled to begin in 2023, the first step toward the advancement of accounting practice. As IFRS17 requires reflecting cash flows of guarantee options embedded in insurance products for assessment of liabilities, it is necessary to study the policyholder’s additional premium payment behavior, which has not been considered among various types of policyholder’s behavior such as termination and withdrawal. This study suggests two modeling frameworks of premium payment in top-down and bottom-up approaches, and proposes dynamic payment rate models for basic, additional, and total premium based on those frameworks. In case of variable universal whole-life insurance which is the flagship product of life insurers, we analyze how the dynamic payment rate models affect values and sensitivities of GMWB and GMDB. Analysis results show that the top-down and bottom-up approaches produce similar values of guarantees and that both levels of those values increase when the model for additional premium is reflected compared to when basic premium model alone is reflected. We reveal that for sensitivity analysis of total premium, the cost of GMWB increases and GMDB decreases when an assumed rate of interest falls, when a withdrawal benefit period becomes longer, and when the investment return declines. In this case, the lower the assumed interest rate, the higher the cost of GMWB for basic premium, but lower the cost for additional premium. On the other hand, reduced termination rate appears to increase the coverage cost of both GMWD and GMDB for basic and additional premium.

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