Skip to main content
Article thumbnail
Location of Repository

"Multiperiod Statistical Risk Management Methods and Equity-Linked Life Insurance"(in Japanese)

By Naoto Kunitomo and Tomoyuki Ichiba


We 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.

OAI identifier:

Suggested articles

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.