보험부채 리스크 마진의 측정에 관한 연구 -국제회계기준을 중심으로-

초록

This paper deals with the valuation of liability based on the adoption of IFRS (International Financial Accounting Standard) by domestic insurance companies. There are two steps for insurance contracts in IFRS. In Phase 1, there are not many changes in evaluation of insurance liabilities. However, IFRS 4 Phase 2 will adopt the fair value of liability. In this study, the measure of risk margin and valuation of insurance liability is studied by using stochastic method which has not been tried in Korea. In this paper, based on various worldwide cases, quantile approach is used for defining the risk margin. And according to this definition, the central estimate of insurance liabilities and risk margin are calculated based on actuarial model using the stochastic method. Risk margin has different values by selected VaR and CTE. As the statutory reserve standard of analyzed insurance product is inadequate compared with the IFRS 4 standard, it is likely for the insurance company to increase the current reserve when IFRS 4 is adopted. Especially the impact will be great for the high interest guaranteed life insurance products sold during past periods. The sensitive analysis of interest rate is performed. As the change of interest rate affects the valuation of liability a lot, domestic life insurance companies need risk management for the interest rate change when the IFRS 4 is adopted.

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