지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 CSAM(Communications for Statistical Applications and Methods) CSAM(Communications for Statistical Applications and Methods) 제28권 제6호
- 발행연도
- 2021.11
- 수록면
- 655 - 671 (17page)
이용수
초록· 키워드
오류제보하기
This study analyzes the premium risk of insurers in Korea, which is expected to experience the fastest population aging in the world. Based on the Lee-Carter model, we generate 10,000 scenarios for the number of future survivors in the group of the 10,000 policyholders of life annuity. According to the result of simulation study, the probability of insurer’s loss for both groups of male and female policyholders is very low. This result indicates that the premium risk of insurers is not as great as the insurer’s concern. This study also suggests introduction of the longevity swap as an alternative to manage the premium risk for the insurer which sells life annuity products. The longevity swap allows insurers to hedge premium risk and reduce capital burden due to the premium risk inherent in life annuity. This study also shows through examples that the counterparty of swap deal may have excess profit in exchange for taking premium risk.
목차
Abstract
1. Introduction
2. Life annuity market in Korea
3. Model, data and methodology
4. Evaluation of the premium risk in life annuity
5. Longevity swap in Korea insurance market
6. Conclusion
References
참고문헌 (0)
참고문헌 신청함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Sustainability of pensions in Asian countries
CSAM(Communications for Statistical Applications and Methods)
2022 .11
-
우리나라 생명보험산업의 자연헤지에 관한 연구
한국데이터정보과학회지
2017 .03
-
Analysis of cause-of-death mortality and actuarial implications
CSAM(Communications for Statistical Applications and Methods)
2019 .11
-
Suitability of stochastic models for mortality projection in Korea: a follow-up discussion
CSAM(Communications for Statistical Applications and Methods)
2021 .03
-
구조방정식을 활용한 개인연금 가입의 결정요인 분석
한국데이터정보과학회지
2016 .04
-
The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
대한수학회지
2020 .01
-
On the Structural Change of the Lee-Carter Model and Its Actuarial Application
East Asian Mathematical Journal
2019 .01
-
An exploratory study on the effect of mental rehearsal on the virtual body swapping illusion
Journal of The Korean Data Analysis Society
2022 .06
-
Effect of the CRS Rate on the IRS and KTB Rates in the 2008 Global Financial Crisis
Journal of The Korean Data Analysis Society
2017 .01
-
A study on the basic design and parameter analysis of super premium (IE4) synchronous reluctance motor
한국자기학회 학술연구발표회 논문개요집
2022 .11
-
The Role of Credit Default Swaps in the Korean Stock Market
Journal of The Korean Data Analysis Society
2016 .01
-
Optimal surrender time for a variable annuity with a fixed insurance fee
대한수학회보
2021 .01
-
구조방정식모형을 이용한 개인연금 가입의향의 결정요인 분석
응용통계연구
2016 .04
-
The effect of life insurance settlement on insurance market and consumer welfare
CSAM(Communications for Statistical Applications and Methods)
2020 .11
-
기대수명의 연령별 사망률로의 전환에 대한 연구
Journal of The Korean Data Analysis Society
2019 .01
-
대응분석을 활용한 국민 사망률과 보험사의 사망률 비교
Journal of The Korean Data Analysis Society
2016 .01
-
코호트 사망률을 이용한 장수채권 가격산출
응용통계연구
2015 .08
-
부산 연안의 복합재난 위험성 평가 연구
한국연안방재학회지
2021 .10
-
손해보험회사 효율성 및 수익성 평가에 관한 연구
Journal of The Korean Data Analysis Society
2022 .08
이 논문의 저자 정보
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2023-310-001432718