"On Risk Management Methods of Equity-Linked Insurance and Practical Problems"(in Japanese)
AbstractRecently the various types of the equity-linked insurance have been introduced and actively traded in Japanese insurance markets. We investigate the basic problems of the actuarial risk management methods for those products based on the Markovian regime-switching time series model, which was originally proposed by Hamilton (1989) and applied to the insurance problem by Hardy (2001, 2003). We argue that they should be carefully used in Japan mainly because the macro-economic performance of Japan in the past decades have been quite different from the macro-economies of Canada and U.S..
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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-141.
Length: 26 pages
Date of creation: Sep 2005
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-13 (All new papers)
- NEP-IAS-2007-01-13 (Insurance Economics)
- NEP-RMG-2007-01-13 (Risk Management)
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