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Pricing theory for individual risks and management of insurance portfolio

个人风险定价理论与保险组合管理

基本信息

批准号：
13630030
负责人：
KARIYA Takeaki
金额：
$ 1.66万
依托单位：
Kyoto University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2001
资助国家：
日本
起止时间：
2001 至 2003
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-13630030/
关键词：
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-guar

项目摘要

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.

基于金融工程中的无套利定价理论，给出了保险风险与金融风险相结合的产品的个别保险风险定价公式，并进行了讨论。从最近的需求方面的动向来看，人们和企业更加关注对冲风险的成本，并寻求通过复合产品更好地覆盖一系列风险。本文主要研究了以下几个问题：1）基于无套利方法的保险产品定价问题; 2）在特定条件下具有自主回收结构的保险产品定价问题，特别是火灾保险产品的定价问题; 3）保险与金融的融合以及保险产品的复合问题，金融和企业风险。4）东京电力公司和东京煤气公司制定的温度衍生品和保险以及风险互换定价模型。5）开发真实的房地产估价模型的问题，推导了租金保证的定价公式，并考虑了商业建筑的租户管理问题，同时应用同样的方法，对一个违约互换期权进行了定价。这被认为是一种信用风险保险，在经济不景气的情况下被广泛使用。