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"On Risk Management Methods of Equity-Linked Insurance and Practical Problems"(in Japanese)

Author

Listed:
  • Gouta Akiyama

    (Mitsui Asset Trust and Banking Company,Limited)

  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

Abstract

Recently 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..

Suggested Citation

  • Gouta Akiyama & Naoto Kunitomo, 2005. ""On Risk Management Methods of Equity-Linked Insurance and Practical Problems"(in Japanese)," CIRJE J-Series CIRJE-J-141, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:jseres:2005cj141
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cj141.pdf
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