보험료율위험 기반 최적 자산배분

초록

This research develops the contribution rate at risk (CaR) model, and empirically examines its practical applicability. The CaR model seeks an asset allocation to minimize the risk of investment leverage. The main findings of this study are as follows; First, investment in risky asset reduces overall risk, and even enhances financial stability of the fund if there exists a positive relation between the return on risky asset and the policy variables such as income growth rate or payment rate. Second, the interest rate risk can be controlled more effectively through the duration strategy which takes into account the sensitivity of the policy variables and the asset management variables with respect to the interest rate changes.

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