신지급여력제도(K-ICS)의 해지리스크 측정에 관한 연구

초록

Korea-Insurance Capital Standard, which korea has been setting to be in effect in 2023, requires insurers to measure the lapse risk of insurance contracts as a part of insurance risk, which has not been stipulated for the current solvency regime called to be RBC. As the result, measurement of the lapse risk based on fluctuation of annual lapse ratio is expected to have significant influence on solvency ratio of insurers. However, disregarding a correlation between the lapse-ratio changes of insurance contracts with different age after making contract results into incorrect measurement of lapse risk. Statistically, high positive-correlations between the lapse-ratio changes of insurance contracts with different age are found through all ages of life insurance contract in Korea – coefficient of correlation between 1 year contracts and 2 year contracts is 0.67, coefficient of correlation between 1 year contracts and 15 year contracts is the smallest but 0.16. This study suggests the Principal Component Analysis(PCA) as the method to solve such constraint and shows empirically that the scale of lapse-risk decreases by 26.9% for floating-rate saving insurance, 25.9% for floating-rate whole life insurance by eliminating the correlations based on the lapse statistics of korean insurance company. It is evidently shown, from the empirical result, that the correlations should be removed for a sophisticated measurement of lapse risk in solvency regime, and the Principal Component Analysis(PCA), as the effective method for the purpose, is able to be applied to the accurate measurement of lapse risk. Meanwhile, both the accurate measurement of lapse risk and comparability of the measurement among insurance companies should be synthetically considered in setting a standard solvency model which is applied to all insuracne companies. That is why the research for method relating to policy such as a way to increase comparability of the lapse risk measured by PCA in the K-ICS will be necessary.

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