자가 연금 전략의 재원부족 리스크 분석
Empirical Analysis of the Shortfall Risks in Pension Payout Phase Using Self-Annuitization Strategy
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초록
전 세계적으로 확정기여형 퇴직연금제도에 대한 의존도가 높아지고, 확정기여형제도가 성숙하여 퇴직자산의 유동화 단계에 진입함에 따라 급여 지급 방식에 대한 논의가 활발하다. 급여 지급 방식 중 일시금 방식은 연금 방식에 비해 유동성 측면에서는 유리하지만, 퇴직자가 생존하는 기간 중에 자산이 부족해지는 리스크가 존재하며, 이런 리스크는 사망 전에 자산이 소진될 확률(즉, 재원부족 리스크)로 측정할 수 있다. 본 논문의 목적은 우리나라의 여자 사망률과 금융 시장을 감안하여 퇴직자산을 일시금으로 수령한 후 자가 연금 전략을 취할 경우 자산이 부족해질 확률을 수치 해석적으로 추정하는 것이다. 추정 결과, 부족 확률은 자산배분 전략, 인출 금액, 퇴직 연령 등 퇴직자가 결정할 수 있는 제반 변수에 크게 의존하는 것으로 나타났다. 인출 금액과 퇴직 연령이 높아질수록 부족 확률이 높아지는 데, 특히 고연령에서의 부족 확률은 상당히 높은 수준이다. 따라서, 우리나라의 경우에도 재원부족 리스크를 최소화할 수 있도록 연금이나 프로그램 인출과 같은 소득 흐름 방식으로 퇴직연금제도의 급여 지급 방식을 설계할 필요성이 있다고 볼 수 있다.
Abstract
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.
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