変額年金保険の理論と実際（秋山豪太・国友直人「変額年金保険の統計的リスク管理法：局面転換モデルの利用リスクと保険」, リスクと保険（日本アクチュアリー会）2006, 21-40頁に掲載。）

Abstract

Recently the various types of the equity-linked insurance have been introduced and actively traded in Japanese insurance markets. We investigate the basic problems of the actuarial risk management methods for those products based on the Markovian regime-switching time series model, which was originally proposed by Hamilton (1989) and applied to the insurance problem by Hardy (2001, 2003). We argue that they should be carefully used in Japan mainly because the macro-economic performance of Japan in the past decades have been quite different from the macro-economies of Canada and U.S..