最小マルチンゲール測度と年金保険のリスク最小化

• 上沼 大介

• UENUMA Daisuke

書誌事項

タイトル別名

• MINIMAL MARTINGALE MEASURE AND RISK MINIMIZATION OF ANNUITIES

抄録

The purpose of this study is to compare the hedging portfolio of local risk-minimization based on observable probability and the portfolio of risk-minimization based on risk-neutral probability. The hedging portfolio consists of zero coupon bonds, longevity swaps (written on the annuity fund), and risk-free asset. The stochastic process of interest rate and mortality intensity is formulated using the affine class model. For mitigating longevity risk in annuity fund we compare the expected hedging errors by the simulation. Hedging risk per annuitant is increased by the risk-minimization on the contrary to actuarial law of large numbers in observable probability. The survival probability evaluated by risk neutral method might cause underestimation of longevity risk.

収録刊行物

• 法政大学大学院紀要. 理工学・工学研究科編

  法政大学大学院紀要. 理工学・工学研究科編 59 1-4, 2018-03-31

  法政大学大学院理工学研究科

キーワード

• Longevity risk management
• Longevity derivatives
• Longevity swaps
• Local risk-minimization
• Risk-minimization

詳細情報

• CRID: 1390572174778238080
• NII論文ID: 120006587751
• NII書誌ID: AA12677220
• DOI: 10.15002/00021619
• HANDLE: 10114/00021619
• ISSN: 21879923
• 本文言語コード: ja
• データソース種別:
  • JaLC
  • IRDB
  • CiNii Articles
• 抄録ライセンスフラグ: 使用可