초록 close

개인의 기대수명이 증가함에 따라 개인들은 자신이 은퇴기간을 예측하여 준비한 은퇴자산보다 오래 생존하게 되는 장수위험(longevity risk)에 더욱 크게 노출된다. 지금까지 재무설계 분야의 은퇴연구는 은퇴 이후에 필요한 생활비를 충분하게 축적하기 위한 은퇴설계에 초점이 맞추어져 왔지만 장수위험에 대처하기 위해서는 은퇴 시점부터 사망 시까지 생활비를 조달하는 자산배분 및 인출전략을 포함한 은퇴자산관리가 중요하다. 본 연구에서는 기대수명의 증가가 은퇴기간 자금조달에 어떠한 영향을 미치는 지를 종신연금을 포함한 전략을 비교함으로 살펴보고자 하였다. 구체적으로 본 연구는 연금화와 관련된 선행연구 결과를 고찰하고, 종신연금 가격을 결정하는 모델을 설정하고, 기대수명 증가와 연금화 정도에 따라 은퇴이후 소득조달 및 자산고갈 등을 분석하는 것을 목적으로 하였다. 이러한 분석을 위하여 자산의 수익률 및 사망확률 등을 확률변수로 가정한 시뮬레이션을 실시하였으며 종신연금이 기대수명 증가에 따라 은퇴이후 생활비 조달에 어떤 역할을 하는지 탐색해 보고자 하였다. 본 연구에서는 은퇴시점에 연금, 주식, 채권에 대한 의사결정이 이루어진다고 가정하고, 2011년 가계금융조사의 은퇴하지 않은 60세 평균가계가 주거를 제외한 전 자산을 은퇴자금으로 활용한다는 가정하에 연금화 비중에 따라 은퇴이후 자산고갈 시점, 평균 은퇴생활의 질을 도출하였다. 모델의 설정에서는 연금을 제외한 자산은 주식과 채권에 6:4의 비율로 투자된다고 가정하고 주식 및 채권의 수익은 로그정규분포를 따른다고 가정하여 연금에서 조달되는 자금을 제외한 적정 은퇴생활비의 부족분을 조달하고 나머지는 주식과 채권에 재투자 된다고 가정하였다. 연금가격을 결정하기 위하여 보험개발원의 6차 및 7차 경험생명표를 활용한 사망확률을 계산하였으며 6차에서 7차로 늘어난 기대여명의 증가에 대하여 연금화 정도(0~100%, 5% 간격)에 따라 자산고갈 시점과 평균 은퇴생활의 질을 분석하였다. 크리스탈 볼을 사용한 시뮬레이션 결과 기대수명 증가에 따라 연금수령액의 감소, 자산고갈 시점의 조기 도래, 평균 은퇴 생활의 질 감소 경향을 뚜렷하게 볼 수 있었다. 연금화 정도는 은퇴자가 원하는 생활의 질을 고려하여 수행되어져야 하는 의사결정임을 논하며 은퇴설계 및 은퇴자산관리 분야의 연구 및 실제 적용을 위한 제언을 도출하였다.


As individuals' life expectancy increases, retirees are exposed to greater risk of out-living their wealth. This longevity risk is one of the most serious risks to individuals who prepare for retirement, because when they do not have enough money to fund their retirement years, people will experience deteriorated retirement level of living and the cost for supporting elderly will be a great burden for a society. So far, research and practical focus of retirement planning have been on accumulating enough wealth for retirement, in other words, saving for retirement has been the major retirement planning goal for many people. However, retirement wealth management during retirement is also important as people's retirement years become longer due to the increased life expectancy. The aim of this research is to explore the relationship between increased life expectancy and life annuity effectiveness. Specifically this research tries to provide comprehensive reviews on previous research on annuitization, to set up a model to calculate annuity prices based on increased life expectancy, to explore average number of years of needing extra support in retirement to cover desired level of living, and to calculate average level of living in retirement years. Annuitization refers to converting retirement wealth in life annuity form and produce constant stream of income during retirement. Therefore, researchers have been suggested full annuitization of retirement wealth as a utility maximization strategy under longevity risk(Yarri 1965). However, annuity markets are under-utilized compared to annuity’s known benefits of hedging longevity risk. Many possible reasons of the annuity puzzle have been suggested in literature (e.g., Lockwood 2010; Vidal and Lejárraga 2004). One of the reasons of the annuity puzzle is the low interest rates and actuarially unfair set up of annuity prices due to the adverse selection of annuity products. Therefore, some people will prefer managing their retirement wealth by investing other financial products such as stocks and bonds instead of buying annuity products(i.e., annuitization). Previous literature has been compared the advantages and disadvantages between annuitization and portfolio management of retirement wealth and suggested utility maximization time of annuitization for retirees under various risk tolerance levels (eg., Dus, Maurer and Mitchell 2005; Kingston and Thorp 2005; Milevsky and Young 2007). This research tries to measure annuitization effectiveness on hedging longevity risk by measuring average number of years of needing extra support in retirement to cover desired level of living, and calculating average level of living in retirement years. Using 2011 Korean Survey of Household Finances, the average non-retired 60 year old household wealth was identified to simulate retirement income funding during retirement based on various levels of annuitization. To run the simulation, it was assumed that the household would use its entire wealth except its primary residence on funding retirement income. The retirement wealth was assumed to invested annuity and portfolio and the portfolio was assumed to be divided into 60% stock and 40% bond. The annuitized wealth level was varied 5% increment starting from 0%. Every year retired household would receive annuity income from the annuitization wealth based on its investment size and the shortfalls to their desired retirement income was assumed to be supported from the portfolio. The remaining portfolio asset after the shortfall withdrawal was assumed to be re-invested into stock and bond as 6:4 without any cost. The portfolio asset was assumed to follow lognormal probability distribution. The average rate of return and standard deviation for the past 10 years were used in the simulation. To set up an annuity prices, market mortality tables from the Korean Insurance Development Institute were used. To capture life expectancy changes, the two most recent market mortality tables have been used. The 6th market mortality table was published in 2009 and the 7th market mortality table was released in July 2012. Using Crystal Ball software, Monte Carlo simulation method has been utilized to explore the average number of years of needing extra support in retirement to cover desired level of living and average level of living in retirement years. After 10,000 simulation of each scenario it has been found that increased life expectancy negatively influences on the average number of years of needing extra support in retirement to cover desired level of living and average level of living in retirement years. As life expectancy increases, retirees will need to support longer years during retirement to cover desired consumption level using extra assets and the average level of living during retirement will be deteriorated. When retirees annuitize more portion of their wealth, they will need to support longer years with extra cost but the overall average level of living during retirement will be improved. The findings of this research suggested that retires and practitioners will need to consider their desired level of living and life expectancy in retirement asset management. This research utilized a model with one time decision at retirement therefore, the findings of this research could provide practical example of retirement asset management at retirement, even though phased decision making and gradual annuitization could be better options for some retirees. Readers should keep in mind that the mortality risk fees from insurance companies were not fully incorporated in annuity pricing model therefore; annuity income examples from this research are not fully comparable to commercial life annuity products.