多期間リスク管理法と変額年金保険（The Japan Statistical Society 日本統計学会誌　Vol. 35-2, 2006, 103-123.に掲載）

Abstract

We re-examine some statistical aspects of the task force report by Canadian Institute of Actuaries on the segregated fund investment guarantees. We argue that there can be non-trivial statistical problems involved for the equity-linked life insurances and investigate the statsitical properties of the multiperiod risk management methods including the moving quantile method and the block boortstrap method. Also we report some results of simulations and data analyses on the popular stock indices in Japan and Canada.