{"created":"2021-03-01T07:02:10.392238+00:00","id":42303,"links":{},"metadata":{"_buckets":{"deposit":"c64c48e9-7ac2-4043-a6b4-ef84c09d182e"},"_deposit":{"id":"42303","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42303"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042303","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Valuing Variable Annuities"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2003-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"2003-CJ-92","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"この論文では変額年金保険の評価のためのフレームワークを提示する．変額年金保険に投資された資本は，(a)口座の積立金額，(b)何種類かのオプション，(c)投資信託の運用会社に支払われる手数料，および(d)保険会社のマージンに分けられる．最初の二つは保険購入者に対する価値を構成するもので，後の二つは商品供給側の企業に対して支払われるものである．この考え方は，評価計算の正しさをダブルチェックする方法としても便利である．もっともポピュラーな商品に付加される死亡保障は，異なった満期のヨーロピアン・プットオプションのポートフォリオであることを示すことができる．われわれは，積立金額が幾何ブラウン運動に従うと仮定して，この死亡保障の価値をブラック・ショールズ公式と「死亡率統計」を用いて算出する．また，年金部分に付加される最低保障オプションも，ブラック・ショールズ公式を用いて算出できる．死亡保障の最低保障額がステップアップするタイプのものはルックバック・オプションの一種であるが，このオプションの評価には三項ツリーのアルゴリズムを用いる．一般的な評価方法を確立したのち，いくつかの典型的な商品を評価する．同時に，(a)～(d)の各部分の価値が投資対象ファンドのボラティリティー，保険契約者の年齢や積立期間の長さなどに影響される度合いを分析する．","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"2003年9月改訂","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"97351","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Kobayashi, Takao"}]},{"nameIdentifiers":[{"nameIdentifier":"97352","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Ikeda, Ryoichi"}]},{"nameIdentifiers":[{"nameIdentifier":"97353","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Hasegawa, Yoichiro"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cj92ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京大学大学院経済学研究科"},{"subitem_text_value":"東京大学経済学部"},{"subitem_text_value":"格付投資情報センター"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"小林, 孝雄"}],"nameIdentifiers":[{"nameIdentifier":"97348","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"池田, 亮一"}],"nameIdentifiers":[{"nameIdentifier":"97349","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"長谷川, 洋一郎"}],"nameIdentifiers":[{"nameIdentifier":"97350","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"変額年金保険の評価","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"変額年金保険の評価"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-03"},"publish_date":"2013-06-03","publish_status":"0","recid":"42303","relation_version_is_last":true,"title":["変額年金保険の評価"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:28.670384+00:00"}