확률적인 이자율 및 확률적인 사망률을 고려한 금리연동형 종신보험의 수익성 분석에 관한 연구

초록

An insurer calculates future cash flows using actuarial assumptions such as yield rates, mortality rates, expense, and lapse rates for an insurance product. Based on these cash flows, the insurer conducts profitability analysis and determines an insurance premium until a profit reaches a target level. In order to calculate cash flows of interest-sensitive whole-life insurance, it is crucial to accurately understand and predict actuarial variables, especially the interest rate and mortality rate. Prior studies in the literature, however, are somewhat limited in that they lacked in special treatment for mortality at advanced ages and they separately analyzed the effect of either interest rate or mortality rate on profitability. In this study, after correcting the old-age mortality rate via the Coale-Kisker model, we estimate and forecast the interest rate by the one-factor Hull-White model and the mortality rate by the Lee-Carter model. We analyze profitability of normal and low-surrender interest-sensitive whole-life insurance with such estimated and forecasted scenarios. We find that there exists a difference in average profitability between when the stochastic interest rate scenarios are applied and when the deterministic interest rate scenario with their averages is applied. We find, however, that there is no difference in average profitability between the stochastic mortality scenarios and the deterministic mortality scenario. In addition to that, our analysis shows that compared to an otherwise identical scenario, the profitability in stochastic mortality scenarios with a decreasing mortality trend is lower due to its lower premium. Likewise, compared to a normal insurance, the profitability of a low-surrender insurance is usually lower due to its lower premium.

키워드