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http://dx.doi.org/10.7465/jkdi.2017.28.2.271

Study on natural hedge strategy in Korean life insurance industry  

Kim, Sejoong (Department of Aging Research, Korea Insurance Research Institute)
Publication Information
Journal of the Korean Data and Information Science Society / v.28, no.2, 2017 , pp. 271-286 More about this Journal
Abstract
The objective of this paper is to evaluate whether longevity risk is properly managed in Korean life insurance industry by measuring longevity risk in the viewpoint of natural hedge. According to analysis, the sum of the reserve of annuity and that of whole life insurance appears to decrease in the case both reserve of annuity and whole life insurance are shocked by same degree and also the mortality rate of the aged policyholders is improved faster than that of the less aged policyholders. Although the sum of the reserves increases only when the mortality improvement of annuity policyholders is higher than that of whole life insurance policyholders by two times, more than 60% of reserve increase of annuity is found to be offset by natural hedge. Thus, it is judged that the longevity risk of Korea life insurance industry is properly managed by natural hedge.
Keywords
Annuity; Lee-Carter model; longevity risk; natural hedge;
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Times Cited By KSCI : 3  (Citation Analysis)
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