On Risk Management Methods of Equity-Linked Insurance and Practical Problems

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..

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

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..

On Risk Management Methods of Equity-Linked Insurance and Practical Problems

生命保険業界では変額年金保険が近年における一つの大きな話題として注目されている。変額年金保険では保険契約者が何らかの最低保障を受けられるが、生命保険会社にとってはそのリスク管理が問題となる。本稿では変額年金保険に関する局面転換対数正規（RSLN）モデルと呼ばれている、一種の隠れマルコフ（Hidden Markov）モデルを利用したリスク管理法の理論と実際的問題を議論する。特にこの間に日本が経験した米国・カナダなどとかなり異なる様相のマクロ経済の動向に依存して、既存のリスク管理法を応用するときに生じうる問題点を指摘し、改善可能性を議論する。本文フィルはリンク先を参照のこ