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Multiperiod Statistical Risk Management Methods and Equity-Linked Life Insurance

Naoto Kunitomo and Tomoyuki Ichiba
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Naoto Kunitomo: Faculty of Economics, The University of Tokyo
Tomoyuki Ichiba: Graduate School of Economics, The University of Tokyo

No CARF-J-006, CARF J-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: We re-examine some statistical aspects of the task force report by Canadian Institute of Actuaries on the segregated fund investment guarantees. We argue that there can be non-trivial statistical problems involved for the equity-linked life insurances and investigate the statsitical properties of the multiperiod risk management methods including the moving quantile method and the block boortstrap method. Also we report some results of simulations and data analyses on the popular stock indices in Japan and Canada.

Pages: 25 pages
Date: 2004-05
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