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A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17
Journal of Insurance and Finance
2018, 29(4),
pp.63-90
DOI :10.23842/jif.2018.29.4.003
Publisher : Korea Insurance Research Institute
Research Area : Business Management
DOI :10.23842/jif.2018.29.4.003
Publisher : Korea Insurance Research Institute
Research Area : Business Management
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When IFRS17 is applied, insurance contracts should be valued in a way that is different from the current GAAP in measuring insurance contracts. Measuring the contracts, risk adjustment should be measured separately. In this paper, we have measured the mortality rate risk adjustment using the Lee-Carter model. As a result of the analysis, risk adjustments for annuity products for men and women are 0.69 ~ 2.22% and 0.30 ~ 1.45% respectively. Risk adjustments for whole life products for men and women are 0.93 ~ 3.51% and 1.16 ~ 2.81% respectively. For the same sex and age, the risk adjustment of the whole life product is bigger than that of the annuity product. In the case of the annuity product, the risk adjustment of women is smaller than that of men in general. In addition, as the entry age increases, risk adjustments of annuity products increase and those of whole life products decrease. The results seem to be consistent with the nature of risk adjustments in IFSR17. We expect this study to contribute to the basic research on how to calculate the risk adjustment for the mortality rate, and it can be used as a basic study to discuss risk measurement method in the future.
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