우리나라의 장수리스크 위험계수 측정에 관한 연구 = A Study on Calculating Risk Factor for Longevity Risk in Korea

다국어 초록 (Multilingual Abstract)

As longevity risk would emerge as main risk factor of life insurance company in Korea, the supervisory authorities in Korea planned to add longevity risk to RBC system after 2018. This study calculates risk factor for longevity risk using one year VaR method with 99% confidential level. According to analysis, risk factor for longevity risk is calculated as 0.74%. However, this study suggests around 1% risk factor to reflect conservativeness and foreign cases. Using shock approach, this study suggests 10~15% mortality improvement shock corresponding VaR method, which is below 20% from Solvency II standard model. As interest rate decreases, risk factor for longevity risk increases. Therefore, the supervisory authorities need to review risk factor for longevity risk when interest rate decreases, and consider shock approach as method of calculating the longevity risk, which reflects interest rate fluctuation automatically.

참고문헌 (Reference)

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