장수리스크를 고려한 최적 종신연금 계획

초록

In this study, we calculated the ruin probability that could occur when individuals choose self annuity plans instead of conventional annuity, based on the actual mortality rate and investment return scenarios. We defined this as longevity risk by considering both the ruin probability and the maximum loss amount. Previous research calculated the ruin probability based on fixed survival probabilities and defined the shortfall amount at the point of occurrence as the risk amount. However, in this study, we used the Bernoulli distribution to estimate the distribution of actual ages at death and quantified the loss amount at each death point as a measure of risk. While previous research was solely interested in probabilities, this study applied actual probabilistic methods and expanded the evaluation to include the risk amount at the time of death. Furthermore, we provided the optimal retirement age for each investment portfolio based on the probabilistic approach.

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