{"created":"2023-05-15T15:30:29.434635+00:00","id":9913,"links":{},"metadata":{"_buckets":{"deposit":"dcd16168-93b0-45dc-ba93-db8c0f85be53"},"_deposit":{"created_by":1,"id":"9913","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9913"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009913","sets":["1159:1162:1165"]},"author_link":["36386","36385","36387"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"ソウジ カクダイテキ ガンケン コウヨウ ト 2フェクター キンリ モデル ニ モトヅク セイメイホケン ノ タキカン サイテキ ウンヨウ モンダイ ニ タイスル キンジ カイセキカイ"}]},"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-08","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-42","bibliographicPageEnd":"28","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"CRR Discussion Paper, Series J"}]}]},"item_7_description_43":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"Technical Report","subitem_description_type":"Other"}]},"item_7_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"ナイトの不確実性下の消費と証券投資（株式指数と全満期の国債）の多期間最適化問題に対し、楠田(2013)は「相似拡大的頑健効用」（Maenhout(2004)）と金利の2ファクター・アフィン・モデルを仮定し、株式指数と2国債群の最適投資比率の近似解析解を確率制御により導出している。本稿では、各期の利益と役職員給与に基づく相似拡大的頑健効用を所持する生命保険会社が生命保険を株式指数と全満期の国債で運用する効用最大化問題を考察する。生命保険を「証券」に見立て、生命保険会社の生命保険債務を「生命保険証券」の空売り投資と見做し、ポートフォリオに組み込むという新たな接近法を用いることによって、本問題を楠田(2013)の枠組みの中に位置付けられることを示す。而して、本モデルから導かれる諸命題を検証可能命題とすべく、実証分析を可能とする近似解析解を導出する。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-42, pp. 1-28","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"クスダ, コウジ"}]}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"Kusuda, Koji"}]}]},"item_7_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Center for Risk Research (CRR), Shiga University"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"楠田, 浩二"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-09-14"}],"displaytype":"detail","filename":"DPJ42Kusuda20130805.pdf","filesize":[{"value":"536.8 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ42Kusuda20130805.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9913/files/DPJ42Kusuda20130805.pdf"},"version_id":"1ec41856-17ab-4f8b-94a2-e7a973aac35f"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"確率制御","subitem_subject_scheme":"Other"},{"subitem_subject":"近似解析解","subitem_subject_scheme":"Other"},{"subitem_subject":"金利リスク","subitem_subject_scheme":"Other"},{"subitem_subject":"生命保険","subitem_subject_scheme":"Other"},{"subitem_subject":"相似拡大的頑健効用","subitem_subject_scheme":"Other"},{"subitem_subject":"2ファクター・モデル","subitem_subject_scheme":"Other"},{"subitem_subject":"ナイトの不確実性","subitem_subject_scheme":"Other"},{"subitem_subject":"ポートフォリオ最適化","subitem_subject_scheme":"Other"}]},"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":"相似拡大的頑健効用と2ファクター金利モデルに基づく生命保険の多期間最適運用問題に対する近似解析解","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"相似拡大的頑健効用と2ファクター金利モデルに基づく生命保険の多期間最適運用問題に対する近似解析解"}]},"item_type_id":"7","owner":"1","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-08-06"},"publish_date":"2013-08-06","publish_status":"0","recid":"9913","relation_version_is_last":true,"title":["相似拡大的頑健効用と2ファクター金利モデルに基づく生命保険の多期間最適運用問題に対する近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:19:38.353096+00:00"}