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On Risk Management Methods of Equity-Linked Insurance and Practical Problems

Gouta Akiyama and Naoto Kunitomo
Additional contact information
Gouta Akiyama: Mitsui Asset Trust and Banking Company,Limited
Naoto Kunitomo: Faculty of Economics, University of Tokyo

No CARF-J-016, CARF J-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: Recently the various types of the equity-linked insurance have been introduced and actively traded in Japanese insurance markets. We investigate the basic problems of the actuarial risk management methods for those products based on the Markovian regime-switching time series model, which was originally proposed by Hamilton (1989) and applied to the insurance problem by Hardy (2001, 2003). We argue that they should be carefully used in Japan mainly because the macro-economic performance of Japan in the past decades have been quite different from the macro-economies of Canada and U.S..

Pages: 26 pages
Date: 2005-09
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