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再保険ネットワークのリスク管理と保険システムの救済問題に関する研究

Research Project

Project/Area Number 18H01652
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Review Section Basic Section 25010:Social systems engineering-related
Research InstitutionHokkaido University

Principal Investigator

鈴木 輝好  北海道大学, 経済学研究院, 教授 (90360891)

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
Project Status Granted (Fiscal Year 2020)
Budget Amount *help
¥17,290,000 (Direct Cost: ¥13,300,000、Indirect Cost: ¥3,990,000)
Fiscal Year 2020: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Fiscal Year 2019: ¥5,590,000 (Direct Cost: ¥4,300,000、Indirect Cost: ¥1,290,000)
Fiscal Year 2018: ¥6,240,000 (Direct Cost: ¥4,800,000、Indirect Cost: ¥1,440,000)
Keywordsファイナンス / リスク管理 / 保険 / 再保険 / システミックリスク / 金融リスク管理 / 金融リスク / オペレーションズ・リサーチ
Outline of Annual Research Achievements

主研究テーマについて,大きく分けて2件の研究論文を完成させた.どちらも,2020年4月現在,トップジャーナルにおいて審査中である.第一は,"Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives". 研究メンバーである,一橋大学・西出,東京都立大学・八木,および代表者・北海道大学・鈴木の共著で,保険契約のネットワーク問題における最大の障害について,一つの解答を与えた.保険契約は,金融オプションでいうところのプットオプションであり,いわば売り契約ある.この場合,システミックリスクに関する従来の研究成果は,簡単には保険契約に応用できない.我々はこの点について重要な成果を得た.第二は,"The Mechanism of Endogenous Clearing and Simultaneous Defaults in Two Interconnected Firms".研究メンバーである,八木,東京理科大学・施,および研究代表者による共同研究で,2社間に債務や株式の持ち合いがある場合に,企業のデフォルトがどのようなメカニズムで発生するのかを明らかにした.問題は連立型の線形相補性問題に帰着することが示され,有用なアルゴリズムを提案し,それが収束することを示した.

Current Status of Research Progress
Current Status of Research Progress

2: Research has progressed on the whole more than it was originally planned.

Reason

再保険契約のネットワーク問題の最大の難点は,保険契約自体がプットオプションとなっており,従来のシステミックリスクに関する研究を容易には適用できない点である.この点に気付かずに応用を進めている研究者は多い.我々は,この問題について,ひとつの解答を与えることに成功した.さらには,実務的に有用なアルゴリズムについてアイデア段階ではあるものの,手応えのある研究にとりかかりつつあり,次年度は向けて順調に進んでいると確信している.

Strategy for Future Research Activity

繰り返しになるが,保険契約に関するシステミックリスク問題における難点は,保険契約が売り契約であることに起因する.我々は,この点を克服するために,再保険契約については,実需があるプットオプション,すなわち,金融契約でいうプロテクティブプットになっている点に着目する.

Report

(2 results)
  • 2019 Annual Research Report
  • 2018 Annual Research Report

Research Products

(20 results)

All 2022 2020 2019 2018

All Journal Article (6 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 5 results,  Open Access: 3 results) Presentation (12 results) (of which Int'l Joint Research: 8 results) Book (2 results)

  • [Journal Article] A new mixed integer programming approach for optimization over the efficient set of a multiobjective linear programming problem2022

    • Author(s)
      Lu, K., Mizuno, S. & Shi, J
    • Journal Title

      ptimization Letters

      Volume: 未定 Pages: 2323-2333

    • DOI

      10.1007/s11590-020-01554-7

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Brokered versus Dealer Markets: Impact of Proprietary Trading with Transaction Fees2020

    • Author(s)
      Katsumasa Nishide and Yuan Tian
    • Journal Title

      International Review of Financial Analysis

      Volume: 未定

    • DOI

      10.1016/j.irfa.2019.101371

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] 契約の不完備性が存在する経済における技術進歩2019

    • Author(s)
      宮田亮
    • Journal Title

      琉球大学経済研究

      Volume: 99 Pages: 19-33

    • NAID

      120006824730

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Journal Article] Settlement fund circulation problem2019

    • Author(s)
      Hitoshi Hayakawa, Toshimasa Ishii, Hirotaka Ono and Yushi Uno
    • Journal Title

      Discrete Applied Mathematics

      Volume: 印刷中 Pages: 86-103

    • DOI

      10.1016/j.dam.2019.03.017

    • NAID

      120007126840

    • Related Report
      2019 Annual Research Report 2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Initial Capital Induced by Optimized Certainty Equivalent2019

    • Author(s)
      Arai, T., T. Asano and K. Nishide
    • Journal Title

      Insurance: Mathematics and Economics

      Volume: 85 Pages: 115-125

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Stochastic Inventory Model for a Random Yield Supply Chain with Wholesale-Price and Shortage Penalty Contracts2018

    • Author(s)
      Sato Kimitoshi、Yagi Kyoko、Shimazaki Masahito
    • Journal Title

      Asia-Pacific Journal of Operational Research

      Volume: 35 Pages: 1850040-1850040

    • DOI

      10.1142/s0217595918500409

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access
  • [Presentation] Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives2019

    • Author(s)
      Katsumasa Nishide
    • Organizer
      2019 China International Risk Forum
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Hostile Takeovers or Friendly Mergers?: A Real Options Analysis2019

    • Author(s)
      Katsumasa Nishide
    • Organizer
      2019 INFOMRS Annual Meeting
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Strategic Liquidity Provision in High Frequency Trading2019

    • Author(s)
      Katsumasa Nishide
    • Organizer
      International Conference on Science, Social Science and Economics
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Strategic Liquidity Provision in High Frequency Trading2019

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Quantitative Methods in Finance Conference 2019
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A Numerical Study on MIP Approaches over the Efficient Set2019

    • Author(s)
      Lu, K., Mizuno, S. & Shi, J
    • Organizer
      World Congress on Global Optimization
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees2018

    • Author(s)
      K. Nishide
    • Organizer
      Annual International Conference on Macroeconomic Analysis and International Finance 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal Initial Capital Induced by the Optimal Certainty Equivalent,2018

    • Author(s)
      K. Nishide
    • Organizer
      日本経済学会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Default Contagion and Systemic Risk in the Presence of Credit Default Swaps2018

    • Author(s)
      K. Nishide
    • Organizer
      4th International Conference on Social Sciences Economics and Finance
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal Initial Capital Induced by the Optimal Certainty Equivalent2018

    • Author(s)
      K. Nishide
    • Organizer
      日本経済学会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Brokered versus Dealer Markets: Impact of Proprietary Trading with Transaction Fees2018

    • Author(s)
      K. Nishide
    • Organizer
      Australia and New Zealand Business and Social Science Research Conference 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The Dynamics of Exchange Offer2018

    • Author(s)
      八木 恭子
    • Organizer
      日本ファイナンス学会第26回大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Default Contagion and Systemic Risk in the Presence of Credit Default Swaps2018

    • Author(s)
      八木 恭子
    • Organizer
      日本オペレーションズ・リサーチ学会2018年秋季研究発表会
    • Related Report
      2018 Annual Research Report
  • [Book] A Numerical Study on MIP Approaches over the Efficient Set2019

    • Author(s)
      Lu, K., Mizuno, S. & Shi, J
    • Total Pages
      6
    • Publisher
      Springer, Cham
    • ISBN
      9783030218027
    • Related Report
      2019 Annual Research Report
  • [Book] 証券投資理論2018

    • Author(s)
      八木恭子・澤木勝茂
    • Total Pages
      212
    • Publisher
      ミネルヴァ書房
    • Related Report
      2018 Annual Research Report

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Published: 2018-04-23   Modified: 2021-01-27  

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