2022 Fiscal Year Final Research Report
Research on Risk Management of Reinsurance Network and Relief Problem of Insurance System
| Project/Area Number |
18H01652
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Review Section |
Basic Section 25010:Social systems engineering-related
|
|---|
| Research Institution | Hokkaido University |
|---|
Principal Investigator |
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
石井 利昌 北海道大学, 経済学研究院, 教授 (30324487)
宮田 亮 琉球大学, 国際地域創造学部, 准教授 (30336383)
西出 勝正 一橋大学, 大学院経済学研究科, 教授 (40410683)
施 建明 東京理科大学, 経営学部ビジネスエコノミクス学科, 教授 (70287465)
八木 恭子 東京都立大学, 経営学研究科, 准教授 (80451847)
|
|---|
| Project Period (FY) |
2018-04-01 – 2021-03-31
|
| Keywords | システミックリスク |
|---|
| Outline of Final Research Achievements |
Considering the put-option nature of insurance, we examined how far the conditions for the existence of solutions can be relaxed. As a result, we have succeeded in loosening the constraint most among the existing researches, even for the condition of the uniqueness of the solution. We also proposed a computational algorithm that extends existing algorithms. Numerical experiments on CDS securities, which have the properties of insurance contracts, suggest that their existence may destabilize the market.
In addition, when there is a direct link in financial statements between two firms, we examined the optimal financial strategy of both firms. We proposed a useful computational algorithm, and as a result of numerical comparative static analysis, we found that cross-debt hastened the default timing of the two companies.
|
| Free Research Field |
ファイナンス
|
| Academic Significance and Societal Importance of the Research Achievements |
再保険会社は，互いに再保険を掛け合うネットワーク構造を有している．つまり，再保険ネットワークは，システミックリスクに晒されている．銀行間ネットワークを対象としたシステミックリスクの研究は様々に進められている．本研究はその中でも，保険契約あるいはクレジットデフォルトスワップ契約を中心に扱い，システミックリスクに関する研究の発展に寄与した．
|
