On the Nature of Risk Reduction in Reserve Valuation: Evidence from the Korean Market

• 발행기관: 한국자료분석학회
• 저자명: 이광봉(Kwangbong Lee) 이창수(Changsoo Lee)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.8 No.6, 2147~2156쪽, 전체 10쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2006.12.30

영문 초록

In life insurance practice in most countries, companies are required to calculate statutory policy reserves using a mortality table which incorporates some safety margins by sex, age, or in force period. While considered to be prudent to hedge against adverse mortality experience, this practice ignores risk diversification inherent reserve valuation. In this paper, a statistical inference model is derived to address the nature and magnitude of the portfolio effect. The valuation results inferred with the highest level of confidence suggest that the portfolio effect is apparent especially in portfolios of relatively small numbers of in force contracts, and stabilizes after a certain size of portfolio, approximately 200,000 in force contracts for the sample case used in this paper.

목차

I. Introduction

II. Research Methods

III. Results

IV. Summary and Conclusions

Reference

키워드

Policy Reserve Safety Margin Reserve Valuation Portfolio Effect