Zin ARAI
Hitoshi ARAI
Takashi SAKAJO
Hiroshi SUITO
Dan TANAKA
Kaori NAGATOU
Yumiharu NAKANO
Masaharu NAGAYAMA
Katsuhiro NISHINARI
Ichiro HASUO
Kazuhisa MAKINO
Nakahiro YOSHIDA
Yumiharu NAKANO
Associate Professor
Graduate School of Innovation Management, Tokyo Institute of Technology
Research Theme
Mechanisms of risk diversification in insurance-type financial instrumentsThis study aims the mathematical elucidation of mechanisms of risk diversification. The key to the analysis is to introduce utility functionals with pooling and time-dividing of risk, which constitute essential features of insurance-type financial instruments offered in life insurances and bank lendings. This approach gives a new viewpoint to the conventional explanation of risk diversification by the law of large numbers. In addition, it leads to a mathematical model for the problem of finding reasonable safety loadings in multi-period for which there has been no standard methodology.