IFRS 17의 계약자행동을 반영한 금리연동형보험의 GMSB 비용 분석

초록

IFRS 17 requires that insurance companies should measure insurance liabilities at each reporting date, using current assumptions such as the amount, timing and uncertainty of future cash flows and discount rates and it is a principle to reflect policyholder behaviors that affect future cash flow. This research analyzes how GMSB costs of interest sensitive whole life insurance change when withdrawal is taken into account. When GMSB cost (PB_GMSB1) is defined as the present value of GMSB claims over the present value of a written premium, the basic analysis shows how PB_GMSB1 decreases when withdrawal is considered. Moreover, the research uses withdrawal models considering policyholder behaviors based on ‟the moneyness of the guarantees (GMSB over surrender value under crediting rate)ˮ or ‟the difference between crediting rate with a minimum guaranteed interest rate and the pricing interest rateˮ. It is shown that PB_GMSB1 applying policyholder behaviors on withdrawal rate is no less than PB_GMSB1 applying the constant withdrawal rate. As a result, it is necessary to apply the dynamic withdrawal rate in GMSB costs evaluation.

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