Stop & Go 옵션을 활용한 연금지급방식 개선에 관한 연구

This study analyzed Stop and Go option, which pays a retiree from the retirement account, and upon the occurrence of earned income, stops paying and rolls the balance of the reserve. From a retiree’s position, considerations in using Stop and Go option are how to decide the expected rate of return and reserve investment risk. First, this study calculated the minimum acceptable rate of return and the investment proportion of risk assets in consideration of mortality drag effect according to the sex, age and rolling period. According to the results, the minimum acceptable rate of return and the investment proportion of risk assets were generally higher in men whose life expectancy was short than in women, and they were higher when the rolling period was long and the age was old. Next, in order to hedge the risk of reserve depreciation, which may happen in the investment of risk assets, the put option price was calculated with the estimated value of the reserve at the beginning of Stop and Go option as the exercise price. When the put option price was calculated, the option price was higher for men whose coverage ratio of risk asset incorporation was high than for women. In addition, the price of European option, which can be exercised only on maturity, decreased with approaching the maturity, but the price of American option, which can be exercised before maturity, was high when the period until the maturity was long and the age was old. When using Stop and Go option, retirees may expect stable augmenting of retirement assets using a protective put option strategy.