변액연금보험 최저연금적립금보증 요구자본 계산 시 확률론적 시나리오 방식 적용 연구 = Determination of Required Capital for Guaranteed Minimum Accumulation Benefits Embedded in Variable Annuities Via a Method Based on Stochastic Scenarios

다국어 초록 (Multilingual Abstract)

In Korea, required capital for guaranteed minimum accumulation benefits (hereafter GMAB) is calculated by subtracting an amount of reserves for the guarantee from a 2% of the insured`s reserves for variable annuities. However, the 2% rule may not be adequate to determine a proper amount of required capital for the GMAB. This study investigates how much a required capital for the GMAB varies when the calculation of required capital is implemented via a stochastic simulation method. Generating stochastic scenarios for a stock fund, a bond fund, and a balanced fund with the geometric brownian motion and exponential vasicek model, we calculate amounts of required capital for the GMAB. In order to check the adequacy of the scenarios, we compare the calibration criteria of the scenarios with those of scenarios proposed by C-3 Phase Ⅱ in the United States. From the analysis, we find that there are significant differences in required capitals between when the 2% rule applies and when the stochastic simulation method applies. In particular, we found that the 2% rule is inappropriate for calculating required capital of ratchet style GMAB. Finally, we suggest future research to propose better stochastic scenarios to enhance these types of studies and to study how to reflect a risk shifting via hedging and reinsurance or a risk controlling through adopting rules for underwriting and investments to calculate required capital.

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