국제회계기준하의 보험계약부채 공정가치 산출에 관한 연구

초록

The fair value of insurance contract liabilities represents the market consistent value at which the liabilities could be transferred to a willing and rational counterparty in an arm's length transaction under normal business conditions. Where the market values are not available, market consistent techniques should be applied to determine the best estimate liability and risk margin for non-hedgeable risks. Under the Cost of Capital(CoC) approach, proper CoC rate must be estimated to calculate risk margin. In this paper, CoC rate suitable for Korean insurance industry is estimated. Frictional CoC rate was estimated 3.877%, which is made up of double-taxation costs rate(1.487%) and financial distress cost rate(2.39%). In this study, Cost of Equity Capital using CAPM was 6.1% when 10 reference years of Korean market data were used. To the output from two models, both upward and downward adjustments are needed when assessing the proper CoC rate for calculation of risk margin. This study proposes the proper CoC rate for calculation of risk margin is 4.5∼5.5% after adjustments.

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