A Study on the Effectiveness of Bank and Insurance Portfolio Considering the Real Estate Market

In this paper, from a viewpoint of the traditional business schemes in banking and insurance, we consider the effectiveness of the convergence of banking business and insurance business. Specifically, regarding banking business and insurance business as the businesses which respectively make profits by pooling and managing the risks in their loan portfolio and policy portfolio, we consider the effectiveness of combining the two portfolios or two businesses compared to each portfolio. This paper specifically gives an explicit condition for which an integrated portfolio or equivalently finanssurance portfolio is better in asymptotic default probability than any individual portfolio:bank portfolio and insurance portfolio. In addition, it is judged as a meaningful attempt for the first time to study the effects of composing a portfolio with linking the bank to the insurance products on the real estate market.