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@article{ART002410538},
author={Kyusuh Park and sejoong kim},
title={A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2018},
volume={29},
number={4},
pages={63-90},
doi={10.23842/jif.2018.29.4.003}

TY - JOUR
AU - Kyusuh Park
AU - sejoong kim
TI - A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17
JO - Journal of Insurance and Finance
PY - 2018
VL - 29
IS - 4
PB - Korea Insurance Research Institute
SP - 63
EP - 90
SN - 2384-3209
AB - 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.
KW - IFRS17;risk adjustment;life annuity product;whole life product;Lee-Carter model
DO - 10.23842/jif.2018.29.4.003
ER -

Kyusuh Park and sejoong kim. (2018). A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17. Journal of Insurance and Finance, 29(4), 63-90.

Kyusuh Park and sejoong kim. 2018, "A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17", Journal of Insurance and Finance, vol.29, no.4 pp.63-90. Available from: doi:10.23842/jif.2018.29.4.003

Kyusuh Park, sejoong kim "A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17" Journal of Insurance and Finance 29.4 pp.63-90 (2018) : 63.

Kyusuh Park, sejoong kim. A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17. 2018; 29(4), 63-90. Available from: doi:10.23842/jif.2018.29.4.003

Kyusuh Park and sejoong kim. "A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17" Journal of Insurance and Finance 29, no.4 (2018) : 63-90.doi: 10.23842/jif.2018.29.4.003

Kyusuh Park; sejoong kim. A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17. Journal of Insurance and Finance, 29(4), 63-90. doi: 10.23842/jif.2018.29.4.003

Kyusuh Park; sejoong kim. A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17. Journal of Insurance and Finance. 2018; 29(4) 63-90. doi: 10.23842/jif.2018.29.4.003

Kyusuh Park, sejoong kim. A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17. 2018; 29(4), 63-90. Available from: doi:10.23842/jif.2018.29.4.003

Kyusuh Park and sejoong kim. "A Study on the Valuation of Mortality Rate Risk Adjustment under IFRS17" Journal of Insurance and Finance 29, no.4 (2018) : 63-90.doi: 10.23842/jif.2018.29.4.003