A dynamic general equilibrium analysis of insurance-linked securities and their effect on financla stability
| Project/Area Number |
15K03537
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2015: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
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| Keywords | 企業リスク管理 / 保険 / 保険リンク証券 / 動学一般均衡 / 動学的一般均衡 / デリバティブ / 動学一般均衡分析 |
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| Outline of Final Research Achievements |
This research project provides an equilibrium asset pricing formula under moral hazard. Moral hazard is defined as a firm's costly and incontractible change of measure. The effect of moral hazard on asset prices is characterized by a twist of state price densities. Moral hazard distorts asset prices by (1) decreasing the market price of diffusive risk, (2) increasing the market price of jump risk, (3) lowering the Sharpe ratio, and (4) stipulating a positive premium on a riskless rate. The risk-free rate puzzle is further exaggerated under moral hazard. In addition, using the formula, this research project makes clear an optimal combination of insurance, derivatives and insurance-linked securities in corporate risk management against diffusive risk
(i.e., normal-time risk) and jump risk (i.e., rare-event risk) when the moral hazard problem distorts the markets.
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Report
(4 results)
Research Products
(6 results)
