장수채권을 이용한 생명보험회사의 장수리스크 관리에 관한 연구

Abstract

사망률의 급격한 개선 추세는 전세계적으로 나타나는 현상이며 연금보험을 판매하는 생명보험회사에 있어 중요한 리스크 요인으로 떠오르고 있다. 따라서 우리나라 생명보험회사들도 장수리스크에 대한 인식을 제고하고 관리방안을 모색해야 할 때이다. 유럽의 새로운 감독제도 Solvency II는 보험회사의 장수리스크를 명시적으로 고려하고 있으며, 보험회사가 이에 해당하는 요구자본을 보유하도록 하고 있다. 이러한 변화는 감독제도의 국제적 정합성 측면에서 우리나라 감독제도에도 반영될 것으로 예상된다. 이에 본 논문은 Solvency II제도 하에서 보험회사가 장수리스크 관리를 위해 장수채권을 발행할 경우의 순편익을 분석해 보았다. 장수채권 발행에 따른 보험회사의 비용은 장수채권 발행자인 보험회사가 장수채권 투자자에게 지급하는 위험 프리미엄의 현가합으로 평가할 수 있으며, 장수채권 발행에 따른 보험회사의 편익은 장수리스크 요구자본 경감에 따른 자본비용 감소분의 현가합으로 평가된다. 장수채권 발행에 따른 보험회사의 순편익은 편익에서 비용을 차감한 값이다. 한편 감독당국은 장수채권 발행으로 인한 요구자본 경감수준을 베이시스 리스크(basis risk)의 정도에 따라 조정할 수 있다. 따라서 장수채권 발행에 따른 보험회사의 순편익은 장수채권의 만기와 감독당국의 요구자본 경감비율에 따라 달라진다. 분석결과 65세 남녀를 대상으로 하는 장수채권은 최대 5년에서 15년 만기까지 양의 순편익을 제공하는 것으로 나타났다. 남성과 여성 모두 요구자본 경감비율이 90%인 경우 1년에서 15년 만기 장수채권의 순편익이 양으로 나타났고, 요구자본 경감비율이 60%∼80%인 경우 1년에서 10년 만기 장수채권의 순편익이 양으로 나타났다. 요구자본 경감비율이 40%∼50%인 경우에도 남녀 모두 1년에서 7년 만기 장수채권의 순편익이 양으로 나타났고, 요구자본 경감비율이 30%일 때에는 1년에서 5년 만기 장수채권의 순편익이 양으로 나타났다. 또한 최대 순편익을 나타내는 장수채권의 만기는 3년에서 7년으로 나타났으며, 이는 보험회사가 장수채권을 발행할 때 3년에서 7년 만기의 장수채권이 가장 유리함을 의미한다. 따라서 Solvency II제도 하에서 보험회사는 장수리스크 관리를 위하여 단기 만기의 장수채권을 활용할 충분한 유인이 있다 하겠다. 그러나 보험회사에 의한 장수채권 시장형성은 단기 만기에 국한될 것이라 판단되며, 정부가 보험회사의 장기적인 장수리스크 관리를 유도하려면 장기 만기의 장수채권 거래에 대한 충분한 인센티브를 제공해야 할 것이다. 민감도 분석결과 이자율이 하락하는 경우 순편익은 전반적으로 증가하였으며, 이에 따라 순편익이 양으로 나타나는 장수채권의 만기도 증가하였다. 이러한 결과는 시중 금리가 하락할수록 보험회사의 장수채권 발행 유인이 증가한다는 것을 의미한다. 또한 자본비용률이 상승하는 경우 장수리스크 요구자본 경감에 따른 자본비용 감소분을 증가시키기 때문에 장수채권의 순편익이 증가하는 것으로 나타났다. 한편 장수리스크 시장가격이 30% 가량 상승할 경우 장수채권의 순편익은 전반적으로 감소하지만 최대 3년에서 10년 만기의 장수채권에서 양의 순편익이 나타나는 것으로 분석되었다. 이는 여전히 보험회사의 장수채권 발행유인이 존재한다는 것을 의미한다. 본 논문은 장수채권 시장형성을 위한 선결과제로 네 가지를 제시하고 있다. 첫째 신뢰할 수 있는 데이터의 장기적인 집적이 필요하다. 둘째 감독당국은 현행 RBC 제도 하에서 명시적으로 고려되고 있지 않은 장수리스크를 요구자본 계산에 반영해야 할 것이며, 보험회사의 적극적인 장수리스크 관리를 유도하기 위한 요구자본 경감기회를 제공해야 할 것이다. 셋째 공신력 있는 기관에서 사망률 예측모형 및 생존지수를 구축함으로써 장수채권의 가격결정에 있어 투자자의 신뢰를 확보해야 하겠다. 마지막으로 단기 장수채권 시장은 민간이 담당하고 장기 장수채권 시장은 정부가 담당하는 방식으로 정부와 민간의 역할 분담이 필요할 것으로 보인다.|The rapid mortality improvement trend is a global phenomenon, and it imposes risks on life insurers selling annuity products. Therefore now is time for Korean life insurers to identify and manage this longevity risk. The new European insurance regulatory regime, Solvency II considers insurers' longevity risk explicitly and asks them to hold the required capital. From the viewpoint of international propriety of regulatory regime, such changes are also expected to be reflected to Korea. Accordingly, in this study, the researcher analyzes net benefit of longevity bonds which are issued by life insurers to manage longevity risk under Solvency II. The insurers' cost of issuing longevity bonds is the sum of the present value of risk premium paid by insurers to investors of the longevity bonds. And insurers' benefit by means of issuing longevity bonds is the sum of the present value of capital costs relief under Solvency II. The insurers' net benefit of issuing longevity bonds is the value that deducts cost from benefit. On the other hand, the supervisory authority can control status of required capital relief due to issuance of longevity bonds according to the level of basis risk. Therefore, insurers' net benefits by issuance of longevity bonds depend on maturity of longevity bonds and required capital relief ratio of supervisory authority. As the result of analysis, longevity bonds for 65 year old men and women represent positive net benefits during the maximum maturity from 5 to 15 years. In case of 90 percent capital relief ratio for both men and women, longevity bonds whose maturity is from 1 to 15 years show positive net benefit, and for 60∼80 percent capital relief ratio, longevity bonds whose maturity is from 1 to 10 years have positive net benefit. And in case of 40∼50 percent capital relief ratio, longevity bonds with 1 to 7 years maturity have positive net benefit for both men and women, and for 30 percent capital relief ratio, longevity bonds with 1 to 5 years maturity have positive net benefit. In addition, longevity bonds with 3 to 7 years maturity represent maximum positive net benefits. This means that it is most beneficial to life insurers to issue longevity bonds with maturity of 3 to 7 years. These results suggest that life insurers have enough incentives to issue short-term longevity bonds to manage longevity risk under Solvency II regime. However, longevity bonds market by private life insurers are expected to be limited only to those with short-term maturities under Solvency II regime. If the government intends to encourage life insurers to manage long-term longevity risk, the government should provide enough incentive to long-term longevity bonds. As the result of sensitivity analysis, in case of decreasing interest rates, net benefit increased in general, and accordingly, maturity of longevity bonds representing positive net benefit also increased. This result suggests that lower interest rate environment increases incentives for life insurers to issue longevity bonds. In addition, increased capital cost rate increases deduction of capital costs due to reducing of required capital relief of longevity bonds, which results in increase in the net benefit of longevity bonds. On the other hand, in the event that the market price of longevity risk increases about 30 percent, the net benefit of longevity bonds decreases in general. However, longevity bonds with maximum 3 to 10 years maturity represent positive net benefits. This means that life insurers still have incentives to issue longevity bonds. This study provides four prerequisites for developing longevity bonds market in Korea. First, we need to collect more reliable population data for long time. Second, insurance supervisory authority should introduce longevity risk that is not considered explicitly under the present RBC regime into required capital regulation, and then provide incentives to life insurers to reduce required capital cost in order to manage longevity risk. Third, mortality forecasting model and longevity index should be developed by a reliable public institute to ensure the investor's confidence in the process of pricing longevity bonds. Finally, government can cooperate with private sector such as life insurers and investment banks through role sharing for longevity bonds market. Private sector can be in charge of short-term longevity bonds market and government can take an important role in long-term longevity bonds market.; The rapid mortality improvement trend is a global phenomenon, and it imposes risks on life insurers selling annuity products. Therefore now is time for Korean life insurers to identify and manage this longevity risk. The new European insurance regulatory regime, Solvency II considers insurers' longevity risk explicitly and asks them to hold the required capital. From the viewpoint of international propriety of regulatory regime, such changes are also expected to be reflected to Korea. Accordingly, in this study, the researcher analyzes net benefit of longevity bonds which are issued by life insurers to manage longevity risk under Solvency II. The insurers' cost of issuing longevity bonds is the sum of the present value of risk premium paid by insurers to investors of the longevity bonds. And insurers' benefit by means of issuing longevity bonds is the sum of the present value of capital costs relief under Solvency II. The insurers' net benefit of issuing longevity bonds is the value that deducts cost from benefit. On the other hand, the supervisory authority can control status of required capital relief due to issuance of longevity bonds according to the level of basis risk. Therefore, insurers' net benefits by issuance of longevity bonds depend on maturity of longevity bonds and required capital relief ratio of supervisory authority. As the result of analysis, longevity bonds for 65 year old men and women represent positive net benefits during the maximum maturity from 5 to 15 years. In case of 90 percent capital relief ratio for both men and women, longevity bonds whose maturity is from 1 to 15 years show positive net benefit, and for 60∼80 percent capital relief ratio, longevity bonds whose maturity is from 1 to 10 years have positive net benefit. And in case of 40∼50 percent capital relief ratio, longevity bonds with 1 to 7 years maturity have positive net benefit for both men and women, and for 30 percent capital relief ratio, longevity bonds with 1 to 5 years maturity have positive net benefit. In addition, longevity bonds with 3 to 7 years maturity represent maximum positive net benefits. This means that it is most beneficial to life insurers to issue longevity bonds with maturity of 3 to 7 years. These results suggest that life insurers have enough incentives to issue short-term longevity bonds to manage longevity risk under Solvency II regime. However, longevity bonds market by private life insurers are expected to be limited only to those with short-term maturities under Solvency II regime. If the government intends to encourage life insurers to manage long-term longevity risk, the government should provide enough incentive to long-term longevity bonds. As the result of sensitivity analysis, in case of decreasing interest rates, net benefit increased in general, and accordingly, maturity of longevity bonds representing positive net benefit also increased. This result suggests that lower interest rate environment increases incentives for life insurers to issue longevity bonds. In addition, increased capital cost rate increases deduction of capital costs due to reducing of required capital relief of longevity bonds, which results in increase in the net benefit of longevity bonds. On the other hand, in the event that the market price of longevity risk increases about 30 percent, the net benefit of longevity bonds decreases in general. However, longevity bonds with maximum 3 to 10 years maturity represent positive net benefits. This means that life insurers still have incentives to issue longevity bonds. This study provides four prerequisites for developing longevity bonds market in Korea. First, we need to collect more reliable population data for long time. Second, insurance supervisory authority should introduce longevity risk that is not considered explicitly under the present RBC regime into required capital regulation, and then provide incentives to life insurers to reduce required capital cost in order to manage longevity risk. Third, mortality forecasting model and longevity index should be developed by a reliable public institute to ensure the investor's confidence in the process of pricing longevity bonds. Finally, government can cooperate with private sector such as life insurers and investment banks through role sharing for longevity bonds market. Private sector can be in charge of short-term longevity bonds market and government can take an important role in long-term longevity bonds market.