| Project/Area Number |
13630030
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kyoto University |
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Principal Investigator |
KARIYA Takeaki Kyoto University, Institute of Economic Research, Professor, 経済研究所, 教授 (70092624)
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| Project Period (FY) |
2001 – 2003
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| Project Status |
Completed (Fiscal Year 2003)
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| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,600,000)
Fiscal Year 2003: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2002: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2001: ¥1,000,000 (Direct Cost: ¥1,000,000)
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| 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 / 保険会社のリスク管理 / 分散変動モデル / 気温の予測分布 / ゼロコスト・リスクスワップ / 天候デリバティブ / 完全等価性 / モーメント等価性 / 金融と保険の合流 / 生命保険プレミアム / 地震債券 / 信用リスク派生商品 / ディフォルトスワップ / 派生商品の価値評価 |
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| 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.
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