Yumiharu NAKANO

Associate Professor
Graduate School of Innovation Management, Tokyo Institute of Technology

Research Theme

Mechanisms of risk diversification in insurance-type financial instruments

This 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.