イヌイ　コウジ   Inui Kouji   乾　孝治    所属   明治大学  総合数理学部    職種   専任教授
発表年月日	2011/08/03
発表テーマ	Market-consistent valuation of insurance liabilities with special emphasis on illiquidity risk premium and insurance ALM in Japanese context
会議名	Asia-Pacific Risk and Insurance Association Annual Conference
主催者	Asia-Pacific Risk and Insurance Association
発表形式	口頭（一般）
単独共同区分	共同
発表者・共同発表者	Syuji Tanaka, Nihon University
概要	Solvency II QIS5 documents issued by CEIOPS recently pointed out the importance of considering the liquidity (risk) premium (hereafter LP) on market-consistent 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, %however it is not enough maturity-long, so that extrapolation method will be key issue of this research. 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-Caro simulation. 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.