종신연금보험 장수리스크 평가에 관한 연구

Abstract

최근 우리나라는 경제성장을 기반으로 보건복지수준이 향상되었고 건강에 대한 관심이 증대되어 실제사망률이 감소 보험회사의 사망담보에 대한 리스크는 축소되고 있지만 건강검진 활성화 및 의료기술 발달 등으로 인하여 입원, 치료 담보에 대한 지급금은 확대되고 있는 추세이다. 장수리스크는 종신연금보험에서 연금사망률 개선에 따라 연금보험금이 보험료 산출당시 예상한 것 보다 클 위험으로 정의할 수 있는데 사망률 개선에 따라 생명보험회사는 리스크에 노출되어 있다. 신규계약에는 사망률 개선추이를 반영하여 보험료를 산출하여 리스크를 반영하고 있지만 기존 보유계약은 산출 당시 예정기초율보다 사망률이 개선되어 연금지급의 추가 지급이 예상되고 있다. 하지만, 현행 lock-in 방식의 순보험료식 책임준비금을 적립하고 있는 현 국내제도에서는 연금보험금의 추가지급분에 대해서는 책임준비금 적립을 통한 리스크 반영은 없는 상태이다. 본 연구에서는 기존 보유계약에 대하여 영업보험료식 책임준비금을 산출하여 기준준비금과 비교 과부족액을 추가 적립금으로 산출하여 이를 장수리스크 금액으로 평가하였다. 보유계약 모델은 전 생명보험회사의 보유계약 속성 자료를 파악하는 것이 현실적으로 불가능하여 주요 속성만 고려 72개 표준계약을 설정하였고 본 연구의 목적인 장수리스크 측정을 위하여 사망률외의 계리적 가정은 예정기초율과 동일하게 적용하였으며 연금사망률 가정에 대해서만 8개의 시나리오를 설정하여 시나리오별로 미래 현금흐름을 추정하였다. 본 연구를 통하여 연금보험금의 추가지급이 생명보험회사의 미래 손익에 미치는 영향을 분석하고 미래 추가지급분을 현재의 비용으로 인식할 경우의 책임준비금 추가적립금액을 산출해 향후 책임준비금 공정가치평가시 예상될 수 있는 준비금 변동성을 파악하였다.|Recently mortality rate has steadily declined with improved healthcare systems and increasing concerns on health and wellness as a result of Korean economy growth. While mortality risk is reduced, living benefits including hospitalization and outpatient are mostly increasing due to active physical examination and medical improvement. Longevity risk is the risk to which a life insurance company could be exposed as a result of higher-than-expected payout ratios of annuities which guarantee life time benefits. Longevity risk exists due to the increasing life expectancy trends among policy holders and can result in payout levels that are higher than what a company originally accounts for. While for the new business mortality improvement trends assuming the longevity risk are reflected in the premium calculation, for the in-force business additional annuity payments are inevitable because of the improved mortality rate. However, Korea adopted a Net Premium Reserve System which uses “lock in assumptions” approach and has no statutory requirements to calculate additional reserves of the future escalating annuity payments. In this study, the difference between gross premium reserve and current reserve for the in-force business was estimated to be longevity risk. Since it is not practically possible to evaluate all life insurance in-force data, 72 samples were selected considering main product features. To the extent that the objective of this study is to assess longevity risk, all actuarial assumptions used except for the mortality rate were the same as the scheduled basic assumptions. 8 scenarios were set only for mortality assumption and future cash flows were projected based on each scenario. The purpose of this study is to analyze how the future profit of a life insurance company might be affected by additional annuity payments and to estimate the additional reserves in case future additional payments are discounted as a current cost, then to understand the volatility of reserves measured at fair value.; Recently mortality rate has steadily declined with improved healthcare systems and increasing concerns on health and wellness as a result of Korean economy growth. While mortality risk is reduced, living benefits including hospitalization and outpatient are mostly increasing due to active physical examination and medical improvement. Longevity risk is the risk to which a life insurance company could be exposed as a result of higher-than-expected payout ratios of annuities which guarantee life time benefits. Longevity risk exists due to the increasing life expectancy trends among policy holders and can result in payout levels that are higher than what a company originally accounts for. While for the new business mortality improvement trends assuming the longevity risk are reflected in the premium calculation, for the in-force business additional annuity payments are inevitable because of the improved mortality rate. However, Korea adopted a Net Premium Reserve System which uses “lock in assumptions” approach and has no statutory requirements to calculate additional reserves of the future escalating annuity payments. In this study, the difference between gross premium reserve and current reserve for the in-force business was estimated to be longevity risk. Since it is not practically possible to evaluate all life insurance in-force data, 72 samples were selected considering main product features. To the extent that the objective of this study is to assess longevity risk, all actuarial assumptions used except for the mortality rate were the same as the scheduled basic assumptions. 8 scenarios were set only for mortality assumption and future cash flows were projected based on each scenario. The purpose of this study is to analyze how the future profit of a life insurance company might be affected by additional annuity payments and to estimate the additional reserves in case future additional payments are discounted as a current cost, then to understand the volatility of reserves measured at fair value.