Journal of Insurance and Finance 2021 KCI Impact Factor : 0.67

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pISSN : 2384-3209

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2012, Vol.23, No.1

  • 1.

    Evaluating the Guarantee Reserves in Variable Insurance by Stock Return Scenarios with Stochastic Volatility

    Geonyoup Noh | 2012, 23(1) | pp.3~34 | number of Cited : 11
    Abstract PDF
    In this study, we analyze stock return scenarios for evaluating required capital for guaranteed minimum benefits embedded in variable insurance. We check volatility clustering in the Korean stock market. This paper proposes LN, AR(1), ARCH and RSLN2 models. We explain model estimation and estimate parameters by using KOSPI data. After generating 1,000 stock return scenarios, we analyze tables and pictures of distributions for each models. The analysis shows statistics of models by years. We compare distribution return data with historical return data. Most models are suitable for historical data except ARCH model. The GMDB cashflows of Variable Universal Whole Life indicate that statistics of RSLN2 models is larger than that of LN model. This study shows RSLN2 model has better results than others. But, we need the analysis of other stochastic volatility models.
  • 2.

    A Deposit Insurance Pricing Model - Discrete Time Framework Approach -

    오기석 | 2012, 23(1) | pp.35~57 | number of Cited : 3
    Abstract PDF
    Deposit insurance pricing models suggested in the previous literature have theoretical justifications because they are based upon option pricing models. When we use them to calculate deposit insurance premiums,we need instantaneous standard deviation of the rate of return of assets because they are based upon the continuous time framework. However,it is difficult to obtain instantaneous standard deviation. In this paper,we suggested a deposit insurance pricing model based upon the discrete time framework and conducted a simulation to analyze it. According to the analysis, the ratio of equity to deposit amount and investment policy have greater effects on the deposit insurance premium than financing policy of the financial institution.
  • 3.

    A Study on Measuring Aggregate Auto Insurance Risk with Stochastic Loss Model

    조용운 , 조재린 | 2012, 23(1) | pp.59~100 | number of Cited : 1
    Abstract PDF
    This paper measures risks(TVaR) for three auto insurance coverages -individual, non-individual liabilities, and others - depending upon the guidelines of the Korea Financial Supervisory Service(FSS). To do this,we use Heckman and Meyers CRM with a dataset containing insurance policies and claim settlements of 9 auto insurance companies. In addition,we measure an aggregated risks of all coverages using Heckman and Meyers CRM. We show that at the industry level, aggregated risks of all coverages amount to 839.3 billion KRW with the guidelines of the FSS. FSS requires to linearly add the risks for the three insurance coverages in measuring aggregated risks. However, the aggregated risks of the Heckman and Meyers CRM are measured to 822.1 billion KRW, down by 17.2 billion KRW in risks, as a result of a diversification effect. As such, We suggest our method in measuring aggregated risks of all coverages as insurers' optimal level of capital may be lower than the regulatory capital requirements required by the FSS.
  • 4.

    An Empirical Study on the Policyholder Behavior of Immediate Annuities in Korea

    Lee Kyonghee | 2012, 23(1) | pp.101~132 | number of Cited : 7
    Abstract PDF
    In this study, we provide an in-depth empirical analysis for the characteristics of policyholders in voluntary immediate annuity market in Korea. We use a unique dataset with more than 14,000 actual choice decisions made by individuals choosing between whole-life annuity option (i.e., mortality cross subsidy to those living longer from those dying earlier) and period certain or interest-only options (i.e., no mortality cross subsidy within group). Our empirical analysis reports four major findings. First, traditional policyholder of immediate annuity is a woman of her late 60s and the average premium size is 180million KRW (median 100 million KRW). The average monthly annuity benefits of whole-life annuity option are 1,120 thousand KRW (median 594 thousand KRW). Secondly, the share of whole-life annuity option is much lower than that of the period certain and interest-only option:more than two-thirds of policyholders select an interest-only option due to the tax-exempt benefits and asset management in retirement. Thirdly,standard explanations such as asymmetric information and risk aversion are confirmed in the sample data: high-net worth, women, and older individuals are more likely to take whole-life annuity option than period-certain option. Finally, we can not find an apparent correlation between stock market performance and immediate annuity purchase.