자가 연금 전략의 재원부족 리스크 분석

In many developed countries with mature pension markets, probing into the optimal/best type of pension payout has been broadly progressing due to the increased importance of defined contribution pension plan. Taking out in a form of lump-sum, retirees are likely to be faced with the risk of running out of wealth(i.e. shortfall risk) before death. This paper considers a Korean woman has retired with a lump-sum retirement allowance. Self-annuitization strategy which invests the lump-sum wealth into a portfolio of bond and stock and withdraws a fixed amount, equivalent to the fully annuitized amount. Comparing with full annuitization provided from pension providers in a form of whole life annuity, the advantage of this strategy is its flexibility, but the facing risk is to outlive the income stream generated by the initial wealth. The risk is measured by the probability of ruin(in general, equivalent to commonly used shortfall/longevity risk). We evaluate several alternative conditions for self-annuitization strategy and show that the probability of ruin depends on asset portfolios, retire ages and withdrawal amounts i.e. benchmark annuities. In comparison with private annuity products a self-annuitization strategy has a substantial shortfall risk for higher ages. Our results indicate that in Korean pension system alternative payout types such as annuitization and programmed withdrawal should be considered to reduce the shortfall risk, especially at higher ages.