2017, Vol.28, No.2

Journal of Insurance and Finance 2023 KCI Impact Factor : 0.59

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

The purpose of this study is to find the way of evaluating the policy effect of forward guidance(FG) in the Korean economy. DSGE models seem to be appropriate for the FG policy evaluation as they include the expectation variables. However, the problem is that the FG puzzle appears in the conventional DSGE models. The FG puzzle means the excessive response of endogenous variables to the FG policy. Therefore, we investigate the possibility of using the forecast model of the Bank of Korea, BOKDPM, to evaluate the FG policy effect without the puzzle by applying the suggestion of McKay, Nakamura, and Steinsson (MNS, 2016) to the model. Contrary to our expectation, however, the FG policy effect barely appears rather than excessively in the BOKDPM. The probable reason is that the mean of the prior distributions for the parameters of GDP gap equation are set with too small values to obtain the forecast stability. For the expectation effect of FG to be reasonably estimated in the BOKDPM, we suggest the model to be estimated with Bayesian method using the prior distribution of interest rate coefficient where the mean is set at the conventional risk aversion coefficient and that of GDP expectation where the mean is set at around the current value so that the equation is similar to the MNS(2016)'s discounted IS curve.

The purpose of this study is to analyze the characteristics of independent variables, which influence the mortality rate of life insurance contracts. This paper is also focused on whether bancassurance channel has moderating effects on mortality rate compared with non-bancassurance channel. This study used hierarchical logistic regression model, which is composed of Model 1, Model 2, and Model 3 to analyze moderating effects of bancassurance channel. Model 1 analyzed the characteristics of mortality rate using logistic model with individual independent variables such as gender, contract age, job group (risk level), death benefit and protection influence degree. Model 2 analyzed characteristics of mortality rate using logistic model with additional variable (bancassurance channel choice variable), which is used as moderating variable in Model 3. Model 3 analyzed whether bancassurance channel has moderating effects on mortality rate using logistic regression model. This study shows that mortality rate (the odds ratio) of bancassurance channel policyholders was lower than that of non-bancassurance channel policyholders when ages increase. Moreover, it was showed that mortality rate (the odds ratio) of bancassurance channel policyholders was lower than that of non-bancassurance channel policyholders when risk level and insured amount became higher. This paper shows bancassurance channel has moderating effects on mortality rate of life insurance contracts consequentially.

It is well-known in the insurance economics that the objective function with expected utility may not be concave in the deductible level purchased by the insured, unlike coinsurance case. First, we show that given the proportional loading, expected utility function with respect to deductible level is strictly quasi-concave. In addition, as our main contribution, we establish a set of premium conditions under which a risk-averse individual selects full, partial or no coverage level, and gives an intuitive economic interpretation. Moreover, we also consider the comparative statics effects of changes in risk aversion and in wealth. In comparison with the existing literature; for example, Schlesinger (1981), all the findings of this article are obtained only by proportional loading assumption without further restriction on the expected utility function.