재보험 자율화에 따른 국내 손해보험업계의 전략적 대응방안

이광봉,이창수 한국리스크관리학회 1999 '99 정기총회 및 제20회 학술세미나 Vol.- No.-

논단(論壇) : 생보사(生保社) 책임준비김(責任準備金) 규제(規制)에 대해서

이광봉,윤상 보험연구원 1992 보험금융연구 Vol.6 No.-

생명보험재보험 需要의 特性에 관한 硏究

李光峯 인제대학교 1990 仁濟論叢 Vol.14 No.2

Integrating insurance and other financial markets, capital market theory yields a number of testable implications regarding the demand for reinsurance. This study empirically examines these factors with life reinsurance data. A sample of 305 U.S. life insurers is analyzed using OLS and Zellner's seemingly unrelated regressions. The regression models are fitted cross-sectionally and intertemporally for the sample period and only cross-sectionally for individual years. The results generally coincide with those of Mayers and Smith(1990) on non-life reinsurance and support the basic argument of capital market theory that reinsurance utilization varies across ownership structure. Further, the results identify the following observable characteristics of those life insurers that are likely to purchase more reinsurance: (1) marketing of life insurance mainly in the upper end of the market, (2) having lower Best's ratings, (3) geographical diversification, (4) small firm size, (5) having higher ratios of premium to surplus, (6) high growth rate, and (7) greater diversification across product lines. The study's findings have practical implications for the life reinsurance market. Especially for professional reinsurers, they will be helpful in formulating marketing strategies.

國內 保險社의 支拂能力 確保에 관한 硏究

李光峯 인제대학교 1994 仁濟論叢 Vol.10 No.1

Recent changes in the environment of domestic as well as international financial markets, what we call "deregulation, globalization and securitization," have intensified competition among financial institutions. The end result of this increased competition is the deteriorated financial conditions of many financial institutions including insurance companies. This study analyzes and assesses the financial strength of life insurers operating in Korea. Most of the similar studies in the literature try to find variables which most strongly characterize the historical incidence of insolvency. In contrast, noting that there is no past experience of life insurers insolvency in Korea, this study directly estimates prospective failure probabilities for life insurers in operation. Such probabilities were calculated for 21 Korean life insurers on the basis of the Shated(1985)'s assumption that asset returns are lognormally distributed. As indicated by the findings, while it will be desirable for Korean life insurers to raise business efficiency through the reduction of expenses as well as lapse rates in the long-term, an increase of capital is the most effective short-term way to secure solvency margins. Further, regression results suggest that rapid growth and high lapse rates are detrimental to insurers' financial viability. However, this study provides only weak evidence that the ratio of policyholders' surplus to admitted asset, a commonly used proxy for financial strength, is negatively related to failure rates.

On the Nature of Risk Reduction in Reserve Valuation: Evidence from the Korean Market

이광봉,이창수 한국자료분석학회 2006 Journal of the Korean Data Analysis Society Vol.8 No.6

In life insurance practice in most countries, companies are required to calculate statutory policy reserves using a mortality table which incorporates some safety margins by sex, age, or in force period. While considered to be prudent to hedge against adverse mortality experience, this practice ignores risk diversification inherent reserve valuation. In this paper, a statistical inference model is derived to address the nature and magnitude of the portfolio effect. The valuation results inferred with the highest level of confidence suggest that the portfolio effect is apparent especially in portfolios of relatively small numbers of in force contracts, and stabilizes after a certain size of portfolio, approximately 200,000 in force contracts for the sample case used in this paper.

재보험의 가치에 대한 이론적 평가

李光峯 인제대학교 1997 仁濟論叢 Vol.13 No.1

適正 再保險 意思決定에 관한 硏究

李光峯 인제대학교 인문사회과학연구소 1995 인문사회과학논총 Vol.2 No.1

Risk theory attributes the existence of the insurance process to the risk aversion on the part of insurance buyers and the risk reduction through the operation of the law of large numbers on the part of insurers. From a purely theoretical standpoint, the law of large numbers fully operates only when the insurance pool sharing the risk of an insurance contract is comprised of an extremely large number of homogeneous and independent insurance contracts. Since these requirements are rarely met in practice, risk aversion on the part of insurers leads to the reinsurance process to homogenize and diversify their insurance porfolios. Therefore, risk theory as it appears in the insurance literature provides risk aversion as a rational behind insurance and reinsurance demand. On the other hand, capital market theory which intergrates insurance and other financial markets recognizes that most insurable risks are unsystematic in nature and that the shareholders of a widely-held corporations can eliminate insurable risks facing the corporation through their personal portfolio diversification. Thus, it may be argued that insurance purchases by corporations and reinsurance purchases by insurers are redundant. This study develops a risk neutral reinsurance valuation model which incorporates bankrupcy costs in an otherwise perfect capital market. This model demonstrates that the reinsurance irrelevance argument holds under the perfect market assumption and that bankruptcy costs in the capital market make reinsurance valuable. Further, through the reinsurance models of equity. "quasi-debt". and firm valuation, it has been suggested that firm value maximization is not consistent with shareholder wealth maximization.

생보사 책임준비금의 평가를 위한 통계적 추정모형에 관한 연구

이광봉,이창수,정창호 한국리스크관리학회 2003 리스크 管理硏究 Vol.14 No.1

현재 국내 생보사의 책임준비금 산출을 위하여 적용되는 위험율은 업계 전체의 자료를 기초로 하여 통계적으로 작성되는 표준위험률로서 실제로 구현되는 위험률의 불확실성을 감안한 안전할증을 반영하고 있다. 그러나 예정위험률을 일괄적으로 할증하는 방식은 할증에 따른 책임준비금의 증가효과가 경과 순보험료 총액에 비례적으로 작용하게 되어 상대적으로 대형 보험사가 소형 보험사에 비해 책임준비금을 과다하게 적립하는 것을 요구하게 되는 문제점을 초래하게 된다. 본 연구는 개별 생보사의 위험정도를 준비금 적립기준에 반영할 수 있는 통계적 추정모형을 설정하여 현행 방식과 추정모형에 따른 책임준비금을 산출하고 그 결과를 분석하였다. 분석결과는 보유계약건수가 일정수준을 초과하는 경우 보유계약건수가 증가할수록 대수의 법칙이 원활하게 작용함으로써 통계적 추정모형에 의한 책임준비금의 규모는 현행 순보험료식준비금보다 적은 것으로 나타났다. 특히 여성계약자의 경우 남성계약자보다 감소비율이 큰 것으로 나타나 여성의 예정위험률의 할증이 남성에 비하여 상대적으로 큰 것으로 분석되었다. The existing system of policy reserve valuation in Korea requires some safety margins to the rates of mortality originally derived from past mortality experience. However, the amount of appropriate safety margins is very difficult to measure and thus is often set in the somewhat arbitrary fashion. Further, the process does not consider the risk reduction effect through pooling arrangements. This study first recognizes that the law of large numbers operates in the process of reserve valuation as it works in the process of providing insurance products to the public at the outset. Based on this nature of reserve valuations, it then, derives a statistical inference model for reserve valuation and tests the model through sirnulated data and empirical data. Comparing the test results to the results derived from the current valuation method, this study suggests the following implications: (1) as the number of in-force business increases, the level of policy reserves calculated from the model is getting lower through the operation of the law of large numbers, (2) model policy reserves are consistently smaller than those of the current valuation method for all the life insurers investigated and at every level of various confidence intervals, (3) the difference between the two methods mentioned in (2) is remarkably conspicuous for the case of women policyholders, suggesting that the safety margin applied to women mortality rates is relatively bigger than the margin added to men mortality rates.

재보험 자율화에 따른 국내 손해보험업계의 전략적 대응방안

이광봉,이창수 한국국제경영관리학회 1999 국제경영리뷰 Vol.3 No.1

생명보험산업의 재무적 건전성에 관한 실증적 연구

李光峯(Lee, Kwang-bong) 대한경영학회 1997 大韓經營學會誌 Vol.16 No.-