2012, Vol.23, No.1

Journal of Insurance and Finance 2023 KCI Impact Factor : 0.59

pISSN : 2384-3209
https://journal.kci.go.kr/kiri

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.

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.

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.