생명보험회사의 역모기지론 운용리스크 분석

The process of converting home equity into cash is called the reverse mortgage loan, which is designed to allow elderly homeowner to borrow living money (in a form of annuity) by using the equity as collateral, without having to move out of his property. In this paper, we define the life insurer’s risk in operating the tenure reverse whole-life annuity mortgage system as a repayment shortfall risk and then estimate the potential collateral loss that would occur if the value of outstanding loan balance exceeds the value of the net collateral at the time of the death of the borrower. To analyze the risk and potential loss, we introduced four-type risk measures as indicators of the appropriateness of a reverse mortgage contract: actuarial break-even time, actuarial shortfall probability, actuarial shortfall expectation and actuarial mean duration. We find out three main results through numerical illustrations: Firstly, in a view of integrated risk management, it could be recommended to employ 80% more or less (i.e. approximate 80%)equivalence principle as a pricing strategy. Secondly, the reverse mortgage contract with last-survivor option would be more profitable than single-life contract. Lastly, in order to vitalize the tenure reverse mortgage market, the financial market should be even more activated rather than the real estate market.