생존리스크와 사망리스크 헤징을 위한 상품운용전략에 관한 연구 :Lee-Carter추정방법을중심으로

We analyzed the actuarial gains and losses which are caused by each of survival and mortality risks embedded in life insurance policies, using Lee-Carter forecasting model. For our quantitative analysis,among many sorts of survival risks, we focus only on cancer diagnosis rates. Considered the current mortality improvements andthe rapid bio-technology developments, the actuarial gain from mortality risk will increase, whereas the loss from survival risk will be larger. Therefore, in order to succeed in selling insurance policies to any selected groups insured, we need tohedge these risks in a pre-stage of designing a new product covering the risks as well as in a post-stage of setting up the product portfolio composed of cancer and death contingency products. The primary result drawn from the analyses of current mortality table and cancer diagnosis table suggests that it is necessary to set up such a marketing strategy and/or a product designing strategy that the insured mortality and survival risks should be mixed and compromised at least in a ratio of 4.2 vs. 1. Thus, it would be appropriate to adopt each of these strategies as an internal hedging strategy, which is also workable in our current insurance markets.