"Multiperiod Statistical Risk Management Methods and Equity-Linked Life Insurance"(in Japanese)
AbstractWe re-examine some statistical aspects of the task force report by Canadian Institute of Actuaries on the segregated fund investment guarantees. We argue that there can be non-trivial statistical problems involved for the equity-linked life insurances and investigate the statsitical properties of the multiperiod risk management methods including the moving quantile method and the block boortstrap method. Also we report some results of simulations and data analyses on the popular stock indices in Japan and Canada.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-113.
Length: 25 pages
Date of creation: May 2004
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-FIN-2004-09-12 (Finance)
- NEP-IAS-2004-09-12 (Insurance Economics)
- NEP-RMG-2004-09-12 (Risk Management)
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