최적 종신연금 계획의 수익률에 관한 실증분석 - IRR과 연금환급률을 중심으로 -
Empirical Analysis on Optimal Annuity Planning focused on IRR and Return on Annuity
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초록
본 연구의 목적은 은퇴 준비자들의 통상적인 종신연금 가입행동의 합리성을 수익률 측면에서 평가하고, 최적화 기법을 사용하여 최적 연금계획을 제시하는 것이다. 분석 결과, 은퇴 준비자들의 통상적인 연금가입패턴은 IRR과 연금환급률을 최적화하는 연금수급개시 연령을 따를 경우 이 두 수익률 지표들을 크게 향상시킬 수 있었다. 또한, 본 연구에서는 효용함수에 기반을 둔 최적화 모형을 통해 최적 연금수급개시 연령을 제시하고, 재무적 지표와 효용함수 측면에서 최적화된 연금계획을 제시하였다. 그 결과를 종합하면 개인에게 장수위험이 존재하는 경우 연금수급개시연령을 늦추는 것이 재무적 지표 기준으로나 효용함수 측면에서 유리한 것으로 나타났다. 또한, 연간 종신연금에 부과되는 수수료율이 연금환급률 등 수익률 지표뿐 아니라 최적 연금수급개시 연령 등 개인의 최적연금계획에도 중요한 영향을 미치는 것으로 나타났다. 본 연구는 종신연금이 은퇴설계에서 적절히 활용될 경우 장수리스크를 헷지하면서 수익성도 높일 수 있음을 실증분석을 통하여 제시한 것에서 그 의의를 찾을 수 있다.
Abstract
The purpose of this study is to evaluate rationality of Korean pre‐retirees’ annuity planning pattern in terms of its financial benefit and present optimal annuity planning strategy. The financial benefit of annuity is measured with IRR and return on annuity, and an optimization problem is formulated with the objective of maximizing utility on consumption. The results show that general Korean pre‐retirees’ annuity planning pattern can be improved if they can carefully choose the annuitization timings. The results generally indicate that if there is longevity risk and there is a moderate annual insurance charge, then it is beneficial for retirees to delay annuitization. Also, the study found that insurance fees have significant impact on the optimal pattern of annuity planning as well as financial measures and utility values. Finally, the results provide the evidence that an annuity can be an effective tool for sustaining higher return than the risk‐free rate as well as managing longevity risk.
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