所属 明治大学 総合数理学部 職種 専任教授
|発表テーマ||Market-consistent valuation of insurance liabilities with special emphasis on illiquidity risk premium and insurance ALM in Japanese context|
|概要||Solvency II QIS5 documents issued by CEIOPS recently pointed out the importance|
of considering the liquidity (risk) premium (hereafter LP) on marketconsistent
valuation of insurance liability. In this study, we adopt ALM procedure
to explore whether LP works also in Japanese case in the same manner as
CEIOPS indicated. First, we estimate interest rate term structure from JGB,
swap rate, and corporate bond data by usual way, and point out possible difficulty
arising in LP adjustment procedures described in CEIOPS(2010a) by the
idiosyncrasies of Japanese interest rate. Next we compare LP estimates from
the distribution of liability market-consistent value generated by Monte-Carlo
simulation, estimate possible LP model for Japanese case, and evaluate surplus
shortfall risk with historical/Monte-Carlo simulation.
Our aim is to make clear the problems in existing method for LP estimation
and explore implications of illiquidity risk, together with interest risk and credit
risk, under extreme situations.