2003 Fiscal Year Final Research Report Summary
Pricing theory for individual risks and management of insurance portfolio
| Project/Area Number |
13630030
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Kyoto University |
|---|
Principal Investigator |
KARIYA Takeaki Kyoto University, Institute of Economic Research, Professor, 経済研究所, 教授 (70092624)
|
|---|
| Project Period (FY) |
2001 – 2003
|
| Keywords | Pricing fire insurance / pricing various insurance products / composite products of insurance and financial risk / temperature risk swap valuation / temperature ARCH model / temperature stochastic volatility model / real estate valuation model / rent-guaranteeing product |
|---|
| Research Abstract |
Based on no-arbitrage pricing theory in financial engineering, pricing formulas for individual insurance risks acid products of combining insurance risks and financial risks are developed and discussed. From a recent perspective on the movement of demand sides, people and companies are more careful about the cost of hedging risks and seeking a better coverage of a set of risks by a composite product. In this project, I considered the following problems.
1) Via no-arbitrage approach the pricing problems of various insurance products.
2) The pricing problem of insurance that has autonomous recovery structure under a specified condition, in particular fire insurance.
3) Convergence of Insurance and finance and a composite product of insurance, financial and enterprise risks.
4) Models for pricing temperature derivatives and insurance and risk swap made by Tokyo Electric Co and Tokyo Gas Co.
5)The problems of developing Valuation mode for real estate properties, deriving a pricing formula for rent guaranty, and considering tenant management problem for commercial buildings.
In addition, applying the same approach, a default swap option is valued. This is regarded as an insurance for credit risk, and it is popularly used under a bad economic condition.
|
