왜도 예측을 이용한 Lee-Carter모형의 사망률 예측

이항석,백창룡,김지현,Lee, Hangsuck,Baek, Changryong,Kim, Jihyeon 한국통계학회 2016 응용통계연구 Vol.29 No.1

There have been continuous improvements in human life expectancy. Life expectancy is as a key factor in an aging population and can wreak severe damage on the financial integrity of pension providers. Hence, the projection of the accurate future mortality is a critical point to prevent possible losses to pension providers. However, improvements in future mortality would be overestimated by a typical mortality projection method using the Lee-Carter model since it underestimates the mortality index ${\kappa}_t$. This paper suggests a mortality projection based on the projection of the skewness of the mortality versus the typical mortality projection of the Lee-Carter model based on the projection of the mortality index, ${\kappa}_t$. The paper shows how to indirectly estimate future t trend with the skewness of the mortality and compares the results under each estimation method of the mortality index, ${\kappa}_t$. The analysis of the results shows that mortality projection based on the skewness presents less improved mortality at an elderly ages than the original projection.

국민연금 재정평가지표의 제안 및 분석

이항석,신승희,Lee, Hangsuck,Shin, Seunghee 한국데이터정보과학회 2016 한국데이터정보과학회지 Vol.27 No.1

본 논문에서는 국민연금과 주요국 공적연금에서 사용되는 재정평가지표들을 고찰해 보고 국민연금 재정계산 시 보완 및 적용 가능한 재정평가지표로 수정적립배율, 보험료충당률, 기금충당률을 제안하였다. 수정적립배율은 평가시점에 보유한 적립기금으로 장래 지출을 감당할 수 있는 제도유지 기간을 측정하며 기금의 적립 수준에 대한 의미 있는 해석을 가능하게 한다. 보험료충당률과 기금충당률은 국민연금의 지출 재원을 보험료수입과 적립기금으로 구분하여 재원에 따른 지출 충당 비율을 측정한 지표이다. 평가기간 동안의 재정상태를 요약하여 나타내며 재원의 적절성에 대한 정보를 제공해 준다. 다양한 재정평가지표의 활용은 재정상태 평가에 대한 신뢰도를 높이고 이해를 돕는데 기여할 것이다.

이자율 보증옵션이 내재된 생명보험의 이차익 분석

이항석,Lee, Hangsuck 한국데이터정보과학회 2013 한국데이터정보과학회지 Vol.24 No.4

Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.

계리 리스크관리 연구 동향과 향후의 연구 과제

이항석 ( Hangsuck Lee ),백혜연 ( Hyeyoun Baek ) 한국리스크관리학회 2020 리스크 관리연구 Vol.31 No.2

This study reviewed the main contents and implications of the paper on the total 78 articles of the Journal of Risk Management published in the Korea Risk Management Society's research paper over the past 30 years (from 1990 to the first half of 2019). In order to examine the research trends of the research papers on actuarial risk management, the research achievements were mainly dealt with by period and subject. The actuarial risk management research could be divided into the traditional actuarial work related to insurance product development, the study on financial soundness, and the reinsurance and the method of actuarial risk management such as ALM and ERM. As a result of reviewing these research papers, the papers published in the Journal of Risk Management were biased to some subjects, while the research topics in the field of actuarial risk management were very subdivided since 2000. And papers of the mathematical approaches, such as empirical analysis, have taken up more weight than those of policy research. Based on these results, we hope that future papers on new fields or various research methods will be dealt with in the Journal of Risk Management in a balanced manner.

외화 변액연금의 가격결정과 최저보증 리스크관리

이항석 ( Hangsuck Lee ),최지선 ( Jisun Choi ),이민하 ( Minha Lee ) 한국보험학회 2022 보험학회지 Vol.132 No.-

With the recent increase in the proportion of variable annuities funds’ overseas investment, the need for systematic management of exchange risk as well as the minimum guarantee risk inherent in the annuities has emerged. Commonly known methods for risk management include forming a minimum variance portfolio with another annuity product and dynamic hedging, which forms a portfolio of underlying and risk-free assets corresponding to the minimum guarantee option and rebalancing them at a certain observation point. This study derives the pricing formulas for the minimum guarantee options of the two annuity products considering the exchange rate and analyzes the effect of reducing the minimum guarantee risk by applying the portfolio composition and the dynamic hedging. Monte Carlo simulation is conducted to measure the volatility of profits at maturity before and after applying risk management. According to the research results, the risk reduction effect increases in the order of portfolio, dynamic hedging, and portfolio with dynamic hedging. The risk reduction occurs regardless of the situation of the stock market, the volatility of underlying assets, and the correlation coefficient between assets or assets and exchange rates, but there are differences in effects.

경제적 자본관리를 위한 장기손해보험의 자산 부채 포트폴리오 최적화

이항석 ( Hangsuck Lee ),한민연 ( Minyeon Han ),김소연 ( Soyeun Kim ) 한국보험학회 2018 보험학회지 Vol.115 No.-

As IFRS 17 and new solvency system (K-ICS) would be applied, the importance of insurers' stable capital management is increasing. This thesis proposes an assetㆍliability portfolio optimization method to manage the economic capital, which means capital volatility, for long-term insurance. Optimization problem is defined as profitability indicators, which can be consistently applied to assets and liabilities, and economic capital model that combines various risk calculation methods. In addition, some conditions that the optimal solution becomes the global solution are presented to secure the stability and reliability of the optimal portfolio. We also show that the proposed method can be applied by presenting concrete optimization methods and results. The significance of this paper is to suggest a practical methodology for finding efficient point of profitability and risk through asset and liability strategy.

실손의료보험 할인할증제도의 실증분석

이항석 ( Hangsuck Lee ),이민하 ( Minha Lee ),백혜연 ( Hyeyoun Baek ) 한국보험학회 2018 보험학회지 Vol.116 No.-

As the regulative adverse selection and moral hazard leads to the persistent increase in loss ratios and premiums of the Korean private health insurance(PHI), there is an increasing awareness of the rates differentiation methods in PHI. The uniform manual rates despite the diverse distribution of policyholders risk characteristics in PHI would increase the structural loss ratio due to the adverse selection and moral hazard. Therefore, in order to address this problem, we review the overseas Bonus-Malus systems and conduct an empirical analysis to create an alternative. We utilized PHI data from an insurance company. We estimate the transition matrix using the transition rules which impose the transfer from one level to another level once the number of claims is known and the stationary distribution. Finally, we calculate the optimal relativities (Bayesian premium) that reflect the Bonus-Malus system through GLMM analysis. Through this empirical analyses, we provide implication for the implementation of Bonus-Malus system which can enhance the understanding of policyholders, and suitable for Korea.

실손의료보험에서 신뢰도기법을 반영한 보험료 산정

이항석 ( Hangsuck Lee ),이수빈 ( Subin Lee ),백혜연 ( Hyeyoun Baek ) 한국보험학회 2017 보험학회지 Vol.111 No.-

The fee-for-service private health insurance(PHI) which covers the non-coverage part of the national health insurance(NHI) is growing rapidly. Also, the loss-ratio of PHI has consistently increased as the amount of insurance to be paid has rapidly increased. Since the increase of the loss-ratio of PHI leads to increase of the insurance premium, we need to identify the cause and prepare countermeasures to improve the loss-ratio and sustainable development of PHI. This paper points out the main reason of the steep increase in the loss-ratio is a uniform manual rates and suggests the rates differentiation system to devise the diverse distribution of policyholders` risk characteristics. In this paper, we suggests the credibility premiums as the insurance premium rating for PHI. The credibility premiums are calculated by the Bayesian approach that holds the claims history of policyholders to reflect their risk characteristics. This paper also argues the importance of rates differentiation by ages, genders, or the coverages of the insurances for the insurance premium rating of PHI. Finally, we suggest the various rate-differentiation methods.

우리나라 퇴직연금의 재정추계모형과 장기전망 - 확정급여형 가정 중심으로 -

한정림,이항석,Han, Jeonglim,Lee, Hangsuck 한국데이터정보과학회 2014 한국데이터정보과학회지 Vol.25 No.1

The Korean market of pension plans has recently increased and pension plans will be expected to play an important role in the retirement system as complement of the national pension system in the future. However, there are a few of research papers on actuarial projections of pension plans. This paper will discuss a long-term financial projection on defined pension plans using data based on the national pension workplace participants. Previous researches focused on company-based financial projection of pension plan. But, this paper concerns on total Korean pension participants and suggests a method to calculate future financial projection of total pension plans. Finally, this research will suggest several numerical results of normal costs, benefits, numbers of workers, etc.

금리수준별 금리변동성과 위험기준 자기자본제도

안준용,이항석,주효찬,An, Junyong,Lee, Hangsuck,Ju, Hyo Chan 한국데이터정보과학회 2014 한국데이터정보과학회지 Vol.25 No.6

In this paper, we show that there is a positive correlation between the level and the volatility of interest rate and thus suggest that a proper interest rate volatility coefficient (IRVC), a factor used in evaluating the interest rate risk that insurers are exposed to, should be chosen in accordance with the level of interest rate. To this end, we calculate the historical volatility of interest rate using data on government bond yields and show a proportionate relationship between interest rate and historical volatility. The review of exponential Vasicek (EV) and Cox-Ingersoll-Ross (CIR) models for interest rate also confirms the positive correlation between them. The estimation of IRVC by EV and CIR models are 0.9 and 1.1, respectively, which are much smaller than the one under the current risk-based capital (RBC) requirement. We provide modified IRVCs reflecting the level of interest by the two interest rate models. Using modified IRVCs can be a more reasonable method to evaluate the interest rate risk that insurers face.