심규철 김참이 2015-08 20661 https://aurora.ajou.ac.kr/handle/2018.oak/18739 학위논문(석사)--아주대학교 일반대학원 :금융공학과,2015. 8 2011년 이후 국제회계기준(K-IFRS)의 본격적인 도입으로, 보험료와 책임준비금 결정방식이 3이원방식에서 현금흐름가치평가(CFP) 방식으로 변화하면서 3가지 원인 외의 다양한 요인들을 고려하여 보험료를 결정하게 되었고, ‘책임준비금 적정성 평가제도(LAT)’가 신설되었다. 그로 인해 책임준비금을 올바르게 평가하는 것이 제도적으로도 중요해졌다. 또한, 요즘과 같은 저금리 상황에서 변동성의 역할이 중요해졌다. 이에 본 연구는 자산시나리오가 확률변동성 모형을 따른다는 가정 하에, 다양한 형태의 이익배당부 생명보험계약의 가치를 평가하고 보험금의 공정가치를 산정하였다. 또한, 20년 이상의 장기보험이 대부분인 점을 감안하여, 계산비용의 절감을 위해 기술적으로 병렬처리를 사용하였다. 초록 ····································································ⅰ 목차 ····································································ⅱ 1. 서론 ································································ 1 2. 이익배당부 생명보험계약 모형 ···························· 3 3. 확률변동성 옵션가격모형 ···································· 9 4. 수치적 계산 알고리즘 ········································ 12 5. 수치적 계산 결과 ··············································· 17 6. 결론 ································································ 28 부록 ···································································· 29 참고문헌 ····························································· 32 Abstract ······························································ 33 kor The Graduate School, Ajou University 아주대학교 논문은 저작권에 의해 보호받습니다. 확률변동성모형을 이용한 이익배당부 생명보험계약의 가치평가 Pricing of participating life insurance contracts with a stochastic volatility model Thesis 아주대학교 일반대학원 일반대학원 금융공학과 2015. 8 Master http://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000020661 이익배당부생명보험 확률변동성 GMM CUDA Since 2011 when K-IFRS was introduced, the evaluation method of insurance premium and policy reserve has changed from the existing three factors method into the cash-flow pricing (CFP) method in which more factors affecting the premium and reserve are considered. In addition, liability adequacy test (LAT) system was established so that accurate evaluation of liability reserve has been more necessary. This paper evaluates the values of various kinds of participating life insurance contracts with a stochastic volatility model. Furthermore, parallel computing process for efficient calculation is used, considering life insurances are usually long-term contracts.