日本保険・年金リスク学会誌 Vol.6 No.1 2014◊✲ㄽᩥ☜⋡ⓗබⓗᖺ㔠㈈ᨻࣔࢹࣝ࡟ࡼࡿᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᳨ウ
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✄ᇉㄔ୍*

ΎỈ᫬ᙪ†

2010 ᖺ 5 ᭶ 24 ᪥ᢞ✏2012 ᖺ 10 ᭶ 11 ᪥ཷ⌮ᴫせ බⓗᖺ㔠ไᗘࡣ㸪Ẹ㛫ࡢᖺ㔠ಖ㝤࡜㐪࠸㸪ಟṇ㈿ㄢ᪉ᘧ࡛㈈ᨻ㐠Ⴀࡀ⾜ࢃࢀ࡚࠾ࡾ㸪≀౯ࢫࣛ࢖ࢻࡸྍฎศᡤᚓࢫࣛ࢖ࢻࡢ࡯࠿㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡀࣅࣝࢺ࢖ࣥࡉࢀ࡚࠸ࡿ࡞࡝」㞧࡞ࣜࢫࢡᵓ㐀ࢆ᭷ࡋ࡚࠸ࡿ㸬ࡋࡓࡀࡗ࡚㸪✚❧㔠㐠⏝࡟ᙜࡓࡗ࡚ࡣ㸪බⓗᖺ㔠ไᗘ࡜ࡋ࡚ࡢ≉᭷ࡢࣜࢫࢡࢆ⪃៖ࡍࡿᚲせࡀ࠶ࡿࡀ㸪ࡑࡢࡓࡵ࡟ࡣ㸪ゎᯒⓗ࡞࢔ࣉ࣮ࣟࢳ࡛ࡣ࡞ࡃ㸪ࢩ࣑࣮ࣗࣞ
ࢩࣙࣥ࡟ࡼࡿ࢔ࣉ࣮ࣟࢳࡀᚲ㡲࡛࠶ࡿ㸬ᮏ✏࡛ࡣ㸪ᐇ㉁ⓗ࡞✚❧㔠ࢆ ᐃࡍࡿࢩ࣑࣮ࣗࣞࢩࣙ
ࣥࣔࢹࣝࢆ฼⏝ࡋ࡚㸪ఏ⤫ⓗ 4 ㈨⏘࡟ࡼࡿ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ࡘ࠸࡚බⓗᖺ㔠ࡢࣜࢫࢡࢆホ౯ࡋࡓ㸬ࢩ࣑࣮ࣗࣞࢩࣙࣥࡢᑐ㇟࡜ࡋࡓ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪㈨⏘㓄ศẚ⋡࡟ࡘ࠸࡚㸯㸣้ࡳࡢࡍ࡭
࡚ࡢ⤌ࡳྜࢃࡏ㸦⣙ 15 ୓㏻ࡾ㸧ࢆヨࡋࡓ㸬ࡑࡢ⤖ᯝ㸪ࣜࢫࢡࡢ࡜ࡽ࠼᪉࡟ࡼࡗ࡚㸪᭱㐺࡞࣏࣮ࢺࣇ࢛ࣜ࢜ࡀ኱ࡁࡃ␗࡞ࡿࡇ࡜ࡀ᫂ࡽ࠿࡜࡞ࡗࡓ㸬࣮࣮࢟࣡ࢻ㸸බⓗᖺ㔠㸪☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ, ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜, ᐇ㉁ⓗ࡞✚❧㔠 ࡣࡌࡵ࡟ ཌ⏕ᖺ㔠࣭ᅜẸᖺ㔠ࡢ✚❧㔠㐠⏝࡟ࡘ࠸࡚ࡣ㸪ཌ⏕ປാ኱⮧࡟ࡼࡾᐃࡵࡽࢀࡓ㐠⏝฼ᅇࡾࢆ☜ಖࡍࡿࡼ࠺㸪ᖺ㔠✚❧㔠⟶⌮㐠⏝⊂❧⾜ᨻἲே㸦௨ୗ㸪GPIF ࡜࠸࠺㸧ࡀ㛗ᮇⓗ࡟⥔ᣢࡍ࡭ࡁ㈨⏘ᵓᡂ๭ྜ㸦ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜㸧ࢆᐃࡵ㸪✚❧㔠ࡢ㐠⏝ࢆ⾜࠺௙⤌ࡳ࡜࡞ࡗ࡚࠸ࡿ㸬ࡇࡢ┠ᶆ࡜࡞ࡿ㐠⏝฼ᅇࡾࡣ㸪ᖺ㔠㈈ᨻୖࡢㅖ๓ᥦࡢ୍ࡘ࡛࠶
ࡾ㸪ࡑࡢලయⓗ࡞ᩘ್࡟ࡘ࠸࡚ࡣ㸪♫఍ಖ㞀ᑂ㆟఍ᖺ㔠㒊఍࡟タ⨨ࡉࢀࡓ⤒῭๓ᥦᑓ㛛ጤဨ఍࡟࠾ࡅࡿᑓ㛛ᐙࡢ㆟ㄽࢆ⤒࡚Ỵᐃࡉࢀ࡚࠸ࡿ㸬 ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬㸦ཌ⏕ປാ┬㸪2005㸧࡛ࡣ㸪㛗ᮇⓗ࡞㛗ᮇ㔠฼ࡢỈ‽ࢆ 3%࡜タᐃࡋࡓୖ࡛㸪ྡ┠㐠⏝฼ᅇ
ࡾ 3.2㸣㸪ᐇ㉁ⓗ࡞㐠⏝฼ᅇࡾ㸦ᑐ㈤㔠㸧1.1㸣࡜ࡉࢀࡓࡀ㸪ࡇࢀࡣ㸪඲㢠ᅜෆമๆ࡛㐠⏝ࡋࡓሙྜ࡜ྠ⛬ᗘࡢ฼ᅇࡾኚືࣜࢫࢡࢆ࡜ࡾࡘࡘ㸪ศᩓᢞ㈨࡟ࡼࡗ࡚㸪㏣ຍⓗ࡟☜ಖ࡛ࡁࡿ㐠⏝฼ᅇࡾࢆ⪃៖ࡋ࡚タᐃࡉࢀࡓࡶࡢ࡛࠶ࡿ㸬ࡲࡓ㸪
ᖹᡂ 21 ᖺ㈈ᨻ᳨ド࡛ࡣ㸪ࡇࡢ㛗ᮇࡢᶆ‽ⓗ࡞⤒῭๓ᥦ1࡟ࡘ࠸࡚㸪㛗ᮇ㔠฼ 3.7%࡜ࡋ㸪ྡ┠㐠⏝฼ᅇࡾ 4.1㸣㸪
ᐇ㉁ⓗ࡞㐠⏝฼ᅇࡾ 1.6㸣࡜タᐃࡉࢀࡓ㸬 ࡋ࠿ࡋ࡞ࡀࡽ㸪ࠕ඲㢠ᅜෆമๆ࡛㐠⏝ࡋࡓሙྜ࡜ྠ⛬ᗘࡢ฼ᅇࡾኚືࣜࢫࢡࠖࢆྲྀࡿࡇ࡜ࡀබⓗᖺ㔠ไᗘ࡟࡜ࡗ

* ୍ᶫ኱Ꮫ⤒῭◊✲ᡤ ࠛ186-8601 ᮾி㒔ᅜ❧ᕷ୰2-1 email: inagaki@ier.hit-u.ac.jp†ᖺ㔠✚❧㔠⟶⌮㐠⏝⊂❧⾜ᨻἲே ࠛ100-8985 ᮾி㒔༓௦⏣༊㟘ࡀ㛵1-4-1 email: t-shimizu@gpif.go.jp

12016 ᖺᗘ௨㝆ࡢ⤒῭๓ᥦ࡛࠶ࡿ㸬2016 ᖺᗘࡲ࡛ࡣ㸪㊊ඖࡢ⤒῭᝟ໃࢆ཯ᫎࡋ㸪ࡼࡾప࠸㐠⏝฼ᅇࡾࡀ᝿ᐃࡉࢀ࡚࠸ࡿ㸬―1―

JARIP-06-01̲稲垣・清水.indd 1

2014/03/17 10:53:31

࡚㐺ษ࡞ࡇ࡜࡛࠶ࡿ࠿࡝࠺࠿࡟ࡘ࠸࡚㸪༑ศ࡞㆟ㄽࡀ⾜ࢃࢀ࡚࠸ࡿ࡜ࡣ࠸࠸ࡀࡓ࠸㸬බⓗᖺ㔠ไᗘࡣ㸪⪁㱋㸪㞀ᐖཪࡣṚஸ࡟ࡘ࠸࡚ಖ㝤⤥௜ࢆ⾜࠸㸪ᅜẸ⏕άࡢᏳᐃࡀࡑࡇ࡞ࢃࢀࡿࡇ࡜ࢆ㜵Ṇࡍࡿࡇ࡜ࢆ┠ⓗ࡜ࡍࡿࡶࡢ࡛࠶ࡾ㸪ᮏ᮶㸪ᑗ᮶ࡢ⤥௜Ỉ‽ࡢኚືࢆබⓗᖺ㔠ࡢࣜࢫࢡ࡜࡜ࡽ࠼ࡿᚲせࡀ࠶ࡿ㸬⌧ᙺୡ௦ࡢಖ㝤ᩱ㈇ᢸࡣୖ㝈ࡀタᐃࡉࢀ࡚࠸ࡿࡀ㸪ᖹᡂ 16 ᖺᨵṇ࡟ࡼࡗ࡚ᑟධࡉࢀࡓ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ࡟ࡼࡗ࡚㸪㈈ᨻⓗ࡞ᣢ⥆ᛶࡣᇶᮏⓗ࡟ಖドࡉࢀ࡚࠸ࡿ㸬࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡣ㸪㐠⏝≧ἣ➼ࡀᝏࡃ㸪㈈ᨻ≧ἣࡀᝏ໬ࡋࡓ᫬࡟㸪ಖ㝤ᩱࡢᘬୖࡆ࡛ࡣ࡞ࡃ㸪⤥௜Ỉ‽ࡢᘬୗࡆࢆ⮬ືⓗ࡟⾜࠺ࡇ࡜࡟ࡼࡗ࡚㈈ᨻࡢᏳᐃࢆᅗࡿ௙⤌ࡳࡔ࠿ࡽ࡛࠶ࡿ㸬ࡋࡓࡀࡗ࡚㸪බⓗᖺ㔠ไᗘࡢᇶᮏ
࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪༢࡟฼ᅇࡾኚືࣜࢫࢡࡢࡳࢆ⪃៖ࡍࡿࡢ࡛ࡣ࡞ࡃ㸪ᑗ᮶ࡢ⤥௜Ỉ‽ࡢኚືࣜࢫࢡ࡟ᇶ࡙࠸࡚タᐃࡍࡿᚲせࡀ࠶ࡿ㸬 ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬࡛ࡣ㸪ᐇ㉁ⓗ࡞㐠⏝฼ᅇࡾ 1.1㸣ࡀ☜ಖ࡛ࡁࡓሙྜࡣ㸪᭷㝈ᆒ⾮᪉ᘧࡢୗ࡛㸪ᇶ‽࡜࡞ࡿ᪂つ⿢ᐃ⪅ࡢᡤᚓ௦᭰⋡ࡣ 50㸣ࢆୖᅇࡿỈ‽ࢆ☜ಖ࡛ࡁࡿ࡜ࡢィ⟬⤖ᯝࡀ♧ࡉࢀ࡚࠸ࡿࡀ㸪ࡓ࡜࠼ࡤ㸪ᡤᚓ௦᭰⋡ࡀ
50㸣ࢆୗᅇࡿ☜⋡ࡀ࡝ࡢ⛬ᗘ࡞ࡢ࠿㸪ࡑࡢୗ᣺ࢀࣜࢫࢡࡀ୍⯡ᅜẸ࡟チᐜࡉࢀᚓࡿ⠊ᅖ࡛࠶ࡿ࠿࡝࠺࠿࡟ࡘ࠸ุ࡚
᩿ࡍࡿࡓࡵࡢᮦᩱࡣ♧ࡉࢀ࡚࠸࡞࠸㸬ࡇࢀࡽࡣ㸪࠸ࡎࢀࡶ㈈ᨻ෌ィ⟬࡟࠾࠸࡚㸪㐠⏝฼ᅇࡾࡀỴᐃㄽⓗ࡞ࢩࢼࣜ࢜࡜ࡋ࡚タᐃࡉࢀ࡚࠾ࡾ㸪☜⋡ⓗ࡞ኚືࢆ⧊ࡾ㎸ࢇ࡛࠸࡞࠸ࡇ࡜࡟㉳ᅉࡋ࡚࠸ࡿ㸬 ☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟㛵ࡍࡿඛ⾜◊✲࡜ࡋ࡚ࡣ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ࢆෆ⏕ⓗ࡟ุ᩿ࡍࡿ☜⋡ⓗ㈈ᨻண
ࣔࢹࣝࢆ฼⏝ࡋࡓ໭ᮧ࣭୰ᓥ࣭⮻ᯂ
㸦2006㸧
࡟ࡼࡿᡤᚓ௦᭰⋡ࡢ 50㸣☜ಖࢆ⾜࠺ࡓࡵࡢࢥࢫࢺ࡟㛵ࡍࡿศᯒ㸪໭ᮧ
㸦2007㸧
࡟ࡼࡿ⤥௜Ỉ‽࡜ᖺ㔠㈈ᨻࡢࣜࢫࢡࡢ⛬ᗘࢆศᯒࡋࡓ◊✲2࡞࡝ࡀ࠶ࡿ㸬ࡲࡓ㸪⡿ᅜ࡛ࡣ㸪☜⋡ⓗ࡞ᖺ㔠㈈ᨻࡢண ࡢ◊✲࡜ࡋ࡚㸪Congressional Budget Office (2001)ࡸ Lee et al. (2003)࡞࡝ࡀ࠶ࡿ㸬ࡇࢀࡽ࡟ᑐࡋ࡚㸪ゎᯒⓗ࢔ࣉ࣮ࣟࢳ࡟ᇶ
࡙ࡃඛ⾜◊✲࡜ࡋ࡚ࡣ㸪Hoevenaars et al. (2007a, 2007b)࡞࡝ࡀ࠶ࡿ㸬 ໭ᮧ࣭୰ᓥ࣭⮻ᯂࡢࣔࢹࣝࡣ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ࢆෆ⏕ⓗ࡟ุ᩿ࡍࡿ☜⋡ⓗ㈈ᨻண ࣔࢹ࡛ࣝ࠶ࡿࡀ㸪ᮏ✏ࡢࣔࢹ࡛ࣝࡣ㸪ࡇࡢ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ࡢෆ⏕໬ࢆ⾜ࢃ࡞࠸ࡇ࡜࡜ࡋࡓ㸬ࡇࢀࡣ㸪ḟࡢࡼ࠺࡞⌮⏤࡟ࡼࡿ㸬ẖᖺࡢ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ࡟ࡼࡿ⤥௜ࡢῶ㢠⋡ࡣ㸪ᇶᮏⓗ࡟ᖹᆒᑑ࿨ࡢᘏࡧࡸ⿕ಖ㝤⪅ᩘ࡞࡝ேཱྀᏛⓗせ⣲࡟ࡼࡗ࡚Ỵᐃࡉࢀࡿࡀ㸪ேཱྀᏛⓗせ⣲ࡣእ⏕ⓗ࡟୚࠼࡚࠸ࡿࡇ࡜࠿ࡽ㸪ࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟࠾ࡅࡿ⤒῭ኚᩘࡢ☜⋡ኚື࡟ࡼࡿ㈈ᨻ≧ἣࡢኚືࡣ㸪ྛ᫬Ⅼࡢῶ㢠⋡࡟ࡣ཯ᫎࡉࢀࡎ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢᫬ᮇ࡟཯ᫎࡉࢀࡿ௙⤌ࡳ࡜࡞ࡗ࡚࠸
ࡿ㸬ࡋࡓࡀࡗ࡚㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬࡛᝿ᐃࡉࢀࡓ⤊஢ᖺࡲ࡛࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆ㐺⏝ࡋ㸪ࡑࡢᚋ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆ㐺⏝ࡋ࡞࠸๓ᥦ࡛཰ᨭぢ㏻ࡋࢆసᡂࡋ㸪ࢱ࣮ࢤࢵࢺ࡜ࡋ࡚࠸ࡿ 2035 ᖺࡢ✚❧Ỉ‽ࢆ ᐃࡍࢀࡤ㸪ࡑࡢ✚❧Ỉ‽ࡣ㸪2035 ᖺࡲ࡛ࡢ⤒῭ኚᩘࡢኚືࢆ཯ᫎࡋࡓ㈈ᨻ≧ἣࡢᣦᶆ࡜⪃࠼ࡿࡇ࡜ࡀ࡛ࡁࡿ㸬⌧ᐇࡢไᗘ࡛ࡣ㸪㈈ᨻࡀࣂࣛࣥ
ࢫࡍࡿࡲ࡛㸪⤥௜Ỉ‽ࢆᘬࡁୗࡆࡿࡇ࡜3࠿ࡽ㸪✚❧Ỉ‽ࡀప࠸࡯࡝⤥௜ࡢᘬୗࡆᖜࡀ኱ࡁࡃ࡞ࡿࡣࡎ࡛࠶ࡾ㸪⤥௜Ỉ‽ࡣ✚❧Ỉ‽ࡢ༢ㄪቑຍ㛵ᩘ࡜࡞ࡿ࡜⪃࠼࡚ࡼ࠸㸬ࡑࡇ࡛㸪ࣔࢹࣝࡢ」㞧໬ࢆᣍࡃ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢෆ⏕໬ࢆ⾜ࢃࡎ㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬ࡢ᝿ᐃ࡝࠾ࡾ࡟࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆ㐺⏝ࡋ㸪ࢱ࣮ࢤࢵࢺ࡜ࡋ࡚࠸ࡿ 2035 ᖺ࡟࠾ࡅࡿ✚❧Ỉ‽ࢆ⤥௜Ỉ‽ࡢ௦⌮ኚᩘ࡜ࡋࡓ㸬 ໭ᮧ࣭୰ᓥ࣭⮻ᯂࣔࢹ࡛ࣝࡣ㸪බⓗᖺ㔠ࡢࣜࢫࢡᣦᶆ࡜ࡋ࡚ᡤᚓ௦᭰⋡ࢆ⏝࠸࡚࠸ࡿࡀ㸪ᮏ✏࡛ࡣ㸪ࡑࢀࡼࡾࡶྲྀ
ᢅ࠸ࡀᐜ࡛᫆࠶ࡾ㸪බⓗᖺ㔠ࡢ㈈ᨻ෌ィ⟬࡟࠾࠸࡚ࡶ✚❧≧ἣࢆ♧ࡍᣦᶆ࡜ࡋ࡚฼⏝ࡉࢀ࡚࠸ࡿࠕᐇ㉁ⓗ࡞✚❧㔠ࠖࢆࣜࢫࢡᣦᶆ࡜ࡋ࡚⏝࠸ࡓ㸬㈤㔠ୖ᪼⋡࡟ᛂࡌ࡚⤥௜㢠ࡸಖ㝤ᩱ཰ධࡀኚືࡍࡿබⓗᖺ㔠ไᗘ࡟࠾࠸࡚ࡣ㸪㈤㔠ୖ᪼

2 ໭ᮧ㸦2007㸧ࡣ㸪☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜࠺ࡇ࡜࡟ࡼࡗ࡚㸪ᡤᚓ௦᭰⋡ࡢ☜⋡ศᕸ࡞࡝ࡢ᥎ィࢆ⾜࠸㸪බⓗᖺ㔠ࡢ࠸ࢃࡺࡿࣜࢫࢡࡀ኱ࡁ࠸ࡇ࡜ࢆ♧ࡋ㸪ୗ᪉ࣜࢫࢡࡢ⟶⌮ࡸ≀౯ୖ᪼⋡࣭㈤㔠ୖ᪼⋡ࡢࣜࢫࢡࢆ࣊ࢵࢪࡍࡿᚲせᛶࡀ㧗࠸ࡇ࡜ࢆᣦ᦬ࡋࡓ㸬⌧⾜ἲୖࡣ㸪ḟᅇ㈈ᨻ᳨ドࡲ࡛࡟ᡤᚓ௦᭰⋡ࡀ 50㸣ࢆୗᅇࡿ࡜ぢ㎸ࡲࢀࡿሙྜ㸪ࠕ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ࡟ࡼࡿㄪᩚࡢ⤊஢ࡑࡢ௚ࡢᥐ⨨ࢆㅮࡌࡿ࡜࡜ࡶ
࡟㸪⤥௜࡜㈇ᢸࡢᅾࡾ᪉࡟ࡘ࠸࡚෌᳨ウࢆ⾜࠸ᡤせࡢᥐ⨨ࢆㅮࡌࡿࠖࡇ࡜࡜࡞ࡗ࡚࠸ࡿ㸬ᚲࡎࡋࡶ⤥௜Ỉ‽ࡢᘬୗࡆࡀ⾜ࢃࢀࡿ࡜ࡣ㝈ࡽ࡞࠸ࡀ㸪⤥௜Ỉ‽ࡢᘬୗࡆ࡟‽ࡎࡿᥐ⨨㸦ಖ㝤ᩱࡢᘬୖࡆࡸᨭ⤥㛤ጞᖺ㱋ࡢᘬୖࡆ࡞࡝㸧ࡀᐇ᪋ࡉࢀࡿࡇ࡜࡟࡞ࡿ㸬⤥௜Ỉ‽ࡢᘬୗࡆ࡜ྠ➼࡞㈈ᨻຠᯝࢆ᭷ࡍࡿᥐ⨨࡛࠶ࡿࡇ࡜࠿ࡽ㸪ࡇࡇ࡛ࡣ㸪⤥௜Ỉ‽ࡢᘬୗࡆࡀ⾜ࢃࢀࡿࡶࡢ࡜ࡳ࡞ࡋ㸪௨ୗࡢ㆟ㄽࢆ⾜ࡗ࡚࠸ࡿ㸬

3―2―

JARIP-06-01̲稲垣・清水.indd 2

2014/03/17 10:53:32

日本保険・年金リスク学会誌 Vol.6 No.1 2014⋡ࢆୖᅇࡿᐇ㉁ⓗ࡞㐠⏝฼ᅇࡾࢆ☜ಖࡍࡿࡇ࡜ࡀ㔜せ࡛࠶ࡾ㸪ࡑࡢཎ㈨࡜࡞ࡿᑗ᮶ࡢྡ┠ࡢ✚❧㔠ࢆ㈤㔠ୖ᪼⋡࡛๭ࡾᘬ࠸࡚⌧ᅾ౯್࡜ࡋࡓᐇ㉁ⓗ࡞✚❧㔠ࡀ㈈ᨻ≧ἣ࡟࡜ࡗ࡚ᮏ㉁ⓗ࡛࠶ࡿ࠿ࡽ࡛࠶ࡿ㸬ࡇࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࢆࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟ࡼࡗ࡚ồࡵ㸪㈈ᨻ෌ィ⟬⤖ᯝࡢࡑࢀ࡜ࢆẚ㍑ࡍࡿࡇ࡜࡟ࡼࡾ㸪ᖺ㔠㈨⏘㐠⏝ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢホ౯ࢆヨࡳࡓࡶࡢ࡛࠶ࡿ㸬 ୍᪉㸪Hoevenaars et al. (2007a, 2007b)࡛ࡣ㸪Campbell, J.Y., and L.M. Viceira (2002)࡟ࡼࡿ㔠฼➼ࡢᮇ㛫ᵓ㐀ࣔࢹࣝ࡞࡝
ࢆ࣮࣋ࢫ࡟㸪㛗ᮇᢞ㈨ᐙࡢどⅬ࠿ࡽ㛗ᮇⓗ࡞┦㛵ᵓ㐀ࢆ⪃៖ࡋ࡚㸪ᖺ㔠ไᗘࡢ✚❧Ỉ‽࡟╔┠ࡋࡓ࣏࣮ࢺࣇ࢛ࣜ࢜᭱
㐺໬ၥ㢟ࢆゎᯒⓗ࢔ࣉ࣮ࣟࢳ࡟ࡼࡗ࡚ศᯒࡋ࡚࠸ࡿ㸬ࡋ࠿ࡋ࡞ࡀࡽ㸪ࡇࡢ࢔ࣉ࣮ࣟࢳࡣึᮇ್ࡢᖺ㔠㈇മࡀ≀౯ୖ᪼⋡ࡢࡳ࡟ࡼࡗ࡚ఙࡧ࡚࠸ࡃ࡜࠸࠺ࢩࣥࣉࣝ࡞๓ᥦࢆ⨨࠸࡚࠸ࡿࡓࡵ㸪㈿ㄢ᪉ᘧ࡛ẖᖺࡢ࢟ࣕࢵࢩࣗࣇ࣮ࣟࡀ↓ど࡛ࡁ࡞࠸᪥ᮏࡢබⓗᖺ㔠ไᗘࡢศᯒ࡟┤᥋㐺⏝ࡍࡿࡇ࡜ࡣ㞴ࡋࡃ㸪ࡸࡣࡾᮏ✏࡛ᑐ㇟࡜ࡋ࡚࠸ࡿࡼ࠺࡞☜⋡ࢩ࣑࣮ࣗࣞࢩ
ࣙࣥࡢᐇ᪋ࡀ୙ྍḞ࡜⪃࠼ࡽࢀࡿ㸬ࡉࡽ࡟㸪ࠕᐇ㉁ⓗ࡞✚❧㔠ࠖࡣ㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬࡛ࡑࡢィ⟬㐣⛬ࡀヲࡋࡃබ⾲ࡉࢀ࡚࠾ࡾ㸪ࢩ࣑࣮ࣗࣞࢩࣙ
ࣥࣔࢹࣝࢆ୍࠿ࡽᵓ⠏ࡍࡿᚲせࡀ࡞ࡃ㸪ࡑࡢ୰㛫⤖ᯝࢆ⏝࠸࡚☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜࠺ࡇ࡜ࡀ࡛ࡁࡿࡇ࡜࠿ࡽ㸪ᴟࡵ࡚㧗㏿࡞ࢩ࣑࣮ࣗࣞࢩࣙࣥィ⟬ࡀྍ⬟࡛࠶ࡿ࡜࠸࠺฼Ⅼࡶ࠶ࡿ㸬ࡑࡢ⤖ᯝ㸪ఏ⤫ⓗ࡞ 4 ㈨⏘࡟ࡼࡿ࣏࣮ࢺࣇ࢛
ࣜ࢜㸦1㸣้ࡳ࡛タᐃࡋࡓ 152,096 ㏻ࡾ㸧࡟ࡘ࠸࡚ࡢ☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⌧ᐇⓗ࡞᫬㛫ෆ࡟ᐇ⾜ࡍࡿࡇ࡜4ࡀ࡛ࡁ㸪ࣜࢫࢡࡢ࡜ࡽ࠼᪉࡟ࡼࡗ࡚ࡣ㸪᭱㐺࡞࣏࣮ࢺࣇ࢛ࣜ࢜ࡀ኱ࡁࡃ␗࡞ࡗ࡚࠸ࡓ㸬ᮏ✏ࡢ➨ 2 ⠇࡛ࡣ㸪ࠕ☜⋡ⓗබⓗᖺ㔠㈈ᨻィ⟬ࣔࢹࣝࠖࡢᴫせ࡜ࣜࢫࢡ࣭ࣜࢱ࣮ࣥᣦᶆ࡟ࡘ࠸࡚ࡢ⪃࠼᪉ࢆ♧ࡋ㸪
➨ 3 ⠇࡛ࡣ㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬᫬࡟᝿ᐃࡉࢀࡓఏ⤫ⓗ 4 ㈨⏘࡜≀౯ୖ᪼⋡ཬࡧ㈤㔠ୖ᪼⋡ࡢᮇᚅ್㸪ᶆ‽೫ᕪཬࡧ┦㛵ಀᩘ࡟ᇶ࡙࠸࡚㸪☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜࠸㸪බⓗᖺ㔠✚❧㔠㐠⏝ࡢࡓࡵࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᳨ドࢆ⾜ࡗࡓ㸬➨ 4 ⠇࡛ࡣ㸪⤖ᯝࡢࡲ࡜ࡵ࡜࢖ࣥࣉࣜࢣ࣮ࢩࣙࣥࢆ♧ࡍ㸬 ◊✲ࡢ᪉ἲ――☜⋡ⓗබⓗᖺ㔠㈈ᨻࣔࢹࣝࡢ௙⤌ࡳ࡜ᴫせ ᮏ✏ࡢ☜⋡ⓗබⓗᖺ㔠㈈ᨻࣔࢹࣝࡣ㸪ྛ✀ࡢ⤒῭ኚᩘ࡟☜⋡ኚື5ࢆ⧊ࡾ㎸ࢇ࡛㸪බⓗᖺ㔠࡟㛵ࡍࡿ㈈ᨻィ⟬ࢆ⾜࠸㸪ࡑࡢ㈈ᨻ≧ἣࡢホ౯ࢆ┠ⓗ࡜ࡍࡿࣔࢹ࡛ࣝ࠶ࡿ㸬ࡇࡢࣔࢹࣝࡣ㸪ᖺ㔠ࡢ㈈ᨻィ⟬ࢆཌ⏕ປാ┬ࡢ㈈ᨻ෌ィ⟬ࣔࢹࣝࡢࡼ࠺࡟㸪⤥௜㈝ࡸᶆ‽ሗ㓘⥲㢠ࢆேཱྀࡸᑵᴗ≧ἣ࡞࡝ࡢぢ㏻ࡋ࡟ᇶ࡙࠸࡚ィ⟬ࢆ⾜࠺ࣔࢹ࡛ࣝࡣ࡞ࡃ㸪ᖹᡂ
16 ᖺ㈈ᨻ෌ィ⟬ࡢ୰㛫⤖ᯝࢆά⏝ࡋ㸪㈤㔠ୖ᪼⋡㸪
≀౯ୖ᪼⋡㸪
ఏ⤫ⓗ 4 ㈨⏘ࡢ㐠⏝฼ᅇࡾ࡟☜⋡ศᕸࢆ᝿ᐃࡋ࡚㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬ࡢ᭱⤊⤖ᯝ࡛࠶ࡿ⤥௜㈝ࡸ✚❧㔠࡞࡝ࡢ☜⋡ศᕸࢆࣔࣥࢸ࢝ࣝࣟࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟ࡼࡗ࡚
ồࡵࡿࣔࢹ࡛ࣝ࠶ࡿ㸬 ᖹᡂ 16 ᖺࡢබⓗᖺ㔠ไᗘᨵṇ࡛ᑟධࡉࢀࡓ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡣ㸪㈈ᨻ≧ἣ࡟ᛂࡌ࡚ᖺ㔠㢠ࡢ㈤㔠ࢫࣛ࢖ࢻࡸ
≀౯ࢫࣛ࢖ࢻࡢ୍㒊ࢆᢚไࡍࡿ௙⤌ࡳ࡛࠶ࡾ㸪බⓗᖺ㔠ࡢ㈈ᨻ≧ែࡀᝏࡃ࡞ࡗࡓሙྜ࡟ࡣ㸪⤥௜ࡢࢫࣛ࢖ࢻ⋡ࢆᢚไࡍࡿࡇ࡜࡟ࡼࡗ࡚㈈ᨻ≧ែࢆᨵၿࡉࡏࡿ࡜࠸࠺⮬ືㄪᩚᥐ⨨ࡀබⓗᖺ㔠ไᗘ࡟ࣅࣝࢺ࢖ࣥࡉࢀ࡚࠸ࡿ㸬ࡇࢀࡣ㸪ᖹᆒᑑ࿨ࡢᘏࡧࡸฟ⏕⋡ࡢపୗ࡟ࡼࡿ㈈ᨻ≧ἣࡢᝏ໬࡟ഛ࠼ࡓࡶࡢ࡛࠶ࡿࡀ㸪㔠฼ࡸᰴ౯➼࡜࠸ࡗࡓᖺ㔠㐠⏝ᅛ᭷ࡢせᅉࡢ☜⋡ኚື࡟ࡼࡗ࡚⏕ࡌࡿ㈈ᨻ≧ἣࡢᝏ໬࡟ࡘ࠸࡚ࡶ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆ㛗ᮇ㛫⥅⥆ࡋ㸪⤥௜Ỉ‽ࢆᘬࡁୗࡆࡿࡇ࡜࡟ࡼࡗ࡚㸪ᡴࡕᾘࡍ௙⤌ࡳ࡜࡞ࡗ࡚࠸ࡿ㸬ࡑࡇ࡛㸪ᮏࣔࢹࣝࡣ㸪ࡇࡢ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ࡟ࡼࡿ㈈ᨻ

4ྛ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ᑐࡋ࡚㸪1 ୓ᅇࡢ☜⋡ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜࠸㸪2035 ᖺᗘᮎ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢ㢠ࢆ⟬ᐃࡋ㸪ࣜࢱ࣮ࣥ࡟ࡘ࠸࡚ࡣᮇᚅ್ࢆ㸪ࣜࢫࢡ࡟ࡘ࠸࡚ࡣ㸪ᶆ‽೫ᕪ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ཬࡧୗ᪉㒊ศ✚⋡ࡢ 3 ࡘࡢᣦᶆࢆ⟬ᐃࡋ㸪ྛ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥ≉ᛶࡢศᯒࢆ⾜ࡗࡓ㸬5ேཱྀᏛⓗኚᩘ࡟ࡘ࠸࡚ࡣ㸪ᡤ୚ࡢࡶࡢ㸦࠸ࢃࡺࡿ୰఩᥎ィ࡞࡝㸪ࢩࢼࣜ࢜ࢆ᝿ᐃ㸧࡜ࡋ࡚ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜࠺㸬―3―

JARIP-06-01̲稲垣・清水.indd 3

2014/03/17 10:53:33

ຠᯝࢆ㝖ཤࡍࡿほⅬ࠿ࡽ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆෆ⏕໬ࡍࡿࡢ࡛ࡣ࡞ࡃ㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬࡛᝿ᐃࡉࢀࡓ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ㸦ᶆ‽ࢣ࣮ࢫ㸧ࢆእ⏕ⓗ࡟୚࠼ࡿࡇ࡜࡜ࡋࡓ㸬ࡋࡓࡀࡗ࡚㸪ᮏࣔࢹ࡛ࣝࡣ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ࡟
ࡼࡿ⮬ືㄪᩚຠᯝࢆྵࡵࡓබⓗᖺ㔠㈈ᨻ࡟ࡘ࠸࡚ ᐃࡍࡿࡇ࡜ࡣ࡛ࡁ࡞࠸ࡶࡢࡢ㸪ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡀබⓗᖺ㔠㈈ᨻ࠶ࡿ࠸ࡣ⤥௜Ỉ‽࡟୚࠼ࡿᙳ㡪ࢆホ౯ࡍࡿࡇ࡜ࡣྍ⬟࡛࠶ࡿ㸬 ⤒῭ኚᩘࡀኚືࡋࡓሙྜ࡟࠾ࡅࡿྛᖺᗘᮎࡢ✚❧㔠ࡢ᥎ィ᪉ἲ ཌ⏕ᖺ㔠ಖ㝤㸦ཌ⏕ᖺ㔠ᇶ㔠࡟ࡼࡿ௦⾜㒊ศࢆྵࡴ㸬㸧ࡢ㹲ᖺᗘᮎ࡟࠾ࡅࡿ✚❧㔠 Ft ࡣ㸪㹲ᖺᗘ࡟㛵ࡋ㸪 Ct 㸸ಖ㝤ᩱ཰ධ㸪St 㸸ᅜᗜ㈇ᢸ㸪 I t 㸸㐠⏝཰ධ㸪BEt 㸸ཌ⏕ᖺ㔠⤥௜㈝㸦ࡳ࡞ࡋᇶ♏ᖺ㔠ࢆ㝖ࡃ㸧㸪Pt 㸸ᇶ♏ᖺ㔠ᣐฟ㔠㸪Ot 㸸ࡑࡢ௚ᨭฟ㸫ࡑࡢ௚཰ධ㸪࡜ࡋࡓ࡜ࡁ㸪Ft

Ft 1  Ct  St  It  BEt  Pt  Ot………………………………………………. (1)Ft 1  (Ct  It )  (BEt  Pt  St )  Ot

ࡇࡇ࡛㸪 f t 㸸ಖ㝤ᩱ⋡㸦ἲᐃ㸧㸪Wt 㸸ᶆ‽ሗ㓘⥲㢠㸪 BBt 㸸ᇶ♏ᖺ㔠⤥௜㈝㸦≉ูᅜᗜ㈇ᢸࢆ㝖ࡃ㸬㸧㸪 qt 㸸ཌ⏕ᖺ㔠ࡢᣐฟ㔠⟬ᐃᑐ㇟⪅ᩘࡢ๭ྜ㸪 sbt 㸸ᇶ♏ᖺ㔠࡟࠿࠿ࡿᅜᗜ㈇ᢸࡢ⋡㸦2 ศࡢ 1㸧㸪 set 㸸ཌ⏕ᖺ㔠⤥௜඲య࡟࠿࠿ࡿᅜᗜ㈇ᢸࡢẚ⋡㸦⤒㐣ⓗᅜᗜ㈇ᢸ㸧㸪 rt 㸸㐠⏝฼ᅇࡾ㸪࡜ࡍࡿ࡜㸪බⓗᖺ㔠ไᗘୖ㸪

Ct Wt u ft
Pt BBt u qt
St Pt u sbt  BEt u set

Pt u 0.5  BEt u set࡛࠶ࡿࡇ࡜㸪ࡲࡓ㸪㐠⏝཰ධࡣ(Ft 1  0.5u (Ct  St  BEt  Pt  Ot )) u rt࡛࠶ࡿࡇ࡜࠿ࡽ㸪Wt 㸪 BEt 㸪 BBt 㸪 qt 㸪 set ཬࡧ Ot ࡀᚓࡽࢀࢀࡤ㸪㹲ᖺᗘᮎ࡟࠾ࡅࡿཌ⏕ᖺ㔠ಖ㝤ࡢ✚❧㔠 FtItࢆ᥎ィࡍࡿࡇ࡜ࡀ࡛ࡁࡿ㸬ࡇࢀࡽࡢኚᩘ࡟ࡘ࠸࡚㸪ᶆ‽ⓗ࡞⤒῭๓ᥦ࡟ࡼࡿ㈈ᨻ෌ィ⟬ࡢ୰㛫⤖ᯝ㸦௨ୗ㸪ྛኚᩘࡢ
ྑୖ࡟*ࢆࡘࡅ࡚⾲ࡍ㸧ࢆࡶ࡜࡟㸪⤒῭ኚᩘࡀኚ໬ࡋࡓ᫬ࡢ᥎ィᘧࢆ௨ୗ࡟♧ࡍ㸬࡞࠾㸪qt 㸪 set ཬࡧ Ot ࡣ㸪⤒῭๓ᥦ࡟ࡼࡽࡎ୍ᐃࡶࡋࡃࡣኚືࡀᑠࡉ࠸ࡇ࡜࠿ࡽ㸪ᶆ‽ⓗ࡞⤒῭๓ᥦ࡟ࡼࡿ㈈ᨻ෌ィ⟬ࡢ୰㛫⤖ᯝ࡜➼ࡋ࠸࡜ࡳ࡞ࡍ㸬 ᶆ‽ሗ㓘⥲㢠* ࡲࡎ㸪ᶆ‽ሗ㓘⥲㢠Wt ࡣ㸪ᶆ‽ⓗ࡞⤒῭๓ᥦ࡟ࡼࡿᶆ‽ሗ㓘⥲㢠Wt ࢆ㈤㔠ୖ᪼⋡࡟ࡼࡗ࡚⿵ṇࡍࡿࡇ࡜࡟ࡼࡗ
*࡚ᚓࡿࡇ࡜ࡀ࡛ࡁࡿ㸬ලయⓗ࡟ࡣ㸪㹲ᖺᗘࡢ㈤㔠ᣦᩘ6ࢆ wt 㸪ᶆ‽ⓗ࡞⤒῭๓ᥦ࡟ࡼࡿ㈤㔠ᣦᩘࢆ wt ࡜ࡋ㸪At

wt y wt* 㸦௨ୗ㸪㈤㔠ㄪᩚ⋡࡜࿧ࡪ㸬㸧࡜ࡍࡿ࡜㸪
Wt Wt* u At࡟ࡼࡾᚓࡽࢀࡿ㸬 ཌ⏕ᖺ㔠⤥௜㈝ ḟ࡟㸪ཌ⏕ᖺ㔠⤥௜㈝ BEt ࡣ㸪᪤⿢ᐃ⪅࡟ࡘ࠸࡚ࡣ≀౯ࢫࣛ࢖ࢻ㸪᪂つ⿢ᐃ⪅࡟ࡘ࠸࡚ࡣ㈤㔠ࢫࣛ࢖ࢻ㸦ṇ☜࡟ࡣྍฎศᡤᚓࢫࣛ࢖ࢻ࡛࠶ࡿࡀ㸪ࡇࡇ࡛ࡣ➼ࡋ࠸࡜ࡳ࡞ࡍ㸧ࡀ⾜ࢃࢀࡿࡇ࡜࠿ࡽ㸪㹲ᖺᗘࡢ᪂つ⿢ᐃ⪅࡟࠿࠿ࡿᖺ㔠㢠*ࢆ NEt 㸦ᶆ‽ⓗ࡞⤒῭๓ᥦ࡟ࡼࡿࡶࡢࡣ NEt 㸧㸪᪤⿢ᐃ⪅ࡢṧᏑ⋡㸦ᖺ㔠㢠ࡢព࿡㸦㔠㢠࣮࣋ࢫ㸧࡛㸪ኻᶒࡋ࡞࠸
⪅ࡢ๭ྜ㸬⤒῭ኚᩘࡢኚືࡢᙳ㡪ࢆཷࡅ࡞࠸㸬௨ୗྠࡌ㸬㸧ࢆ pet 㸪ᾘ㈝⪅≀౯ᣦᩘࢆ CPIt 㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻ࡟ࡼࡿࢫࣛ࢖ࢻㄪᩚ⋡ࢆ SLt ࡜ࡍࡿ࡜㸪
62008 ᖺᗘࡢ㈤㔠ᣦᩘࢆ100 ࡜ࡋࡓᣦᩘ㸬ᶆ‽ⓗ࡞⤒῭๓ᥦ࡛ࡣ㸪2009 ᖺᗘ௨㝆ࡢ㈤㔠ୖ᪼⋡ࢆ2.1㸣࡜᝿ᐃࡋ࡚࠸ࡿࡇ࡜࠿ࡽ㸪w*t

100*1.021t 2008―4―

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日本保険・年金リスク学会誌 Vol.6 No.1 2014

BEt

(BEt 1 u pet 1 u (CPIt 1 / CPIt 2 )  NEt ) u (1  SLt )(BEt 1 u pet 1 u (CPIt 1 / CPIt 2 )  NEt* u At 2 ) u (1  SLt ) ................................ (2)࡟ࡼࡾᚓࡽࢀࡿ㸬 ᇶ♏ᖺ㔠⤥௜㈝ ᇶ♏ᖺ㔠ᣐฟ㔠ཬࡧᅜᗜ㈇ᢸࡢᇶ♏࡜࡞ࡿᇶ♏ᖺ㔠⤥௜㈝ BBt ࡣ㸪ཌ⏕ᖺ㔠⤥௜㈝࡜ྠᵝ࡟㸪㹲ᖺᗘࡢ᪂つ⿢ᐃ⪅*࡟࠿࠿ࡿᖺ㔠㢠ࢆ NBt 㸦ᶆ‽ⓗ࡞⤒῭๓ᥦ࡟ࡼࡿࡶࡢࡣ NBt 㸧㸪᪤⿢ᐃ⪅ࡢṧᏑ⋡ࢆ pbt ࡜ࡍࡿ࡜㸪

BBt(BBt 1 u pbt 1 u (CPIt 1 / CPIt 2 )  NBt ) u (1  SLt )(BBt 1 u pbt 1 u (CPIt 1 / CPIt 2 )  NBt* u At 2 ) u (1  SLt ) .............................(3)࡟ࡼࡾᚓࡽࢀࡿ㸬 ⌧ᐇⓗ࡞ࢩ࣑࣮ࣗࣞࢩࣙࣥィ⟬ࡢࡓࡵࡢ㏆ఝ ཝᐦ࡟㈈ᨻィ⟬ࢆ⾜࠺ࡓࡵ࡟ࡣ㸪2.1 ࡢ᪉ἲ࡟ࡼࡾࢩ࣑࣮ࣗࣞࢩࣙࣥࢆᐇ᪋ࡍࡿᚲせࡀ࠶ࡿࡀ㸪୍㒊ࡢࢹ࣮ࢱࡀබ
⾲ࡉࢀ࡚࠸࡞࠸ࡇ࡜ࡢ࡯࠿㸪⌧ᐇⓗ࡞᫬㛫ෆ࡛ࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜࠺ࡓࡵ࡟㏆ఝィ⟬ࢆ⾜࠺ࡇ࡜࡜ࡋࡓ㸬 ࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟ᚲせ࡞ࢹ࣮ࢱ ࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟ᚲせ࡞ࢹ࣮ࢱࡢ࠺ࡕ㸪ཌ⏕ປാ┬㸦2005㸧࠶ࡿ࠸ࡣ♫఍ಖ㞀ᑂ㆟఍ᖺ㔠ᩘ⌮㒊఍㸦2006㸧7࡛බ
⾲ࡉࢀ࡚࠸ࡿࢹ࣮ࢱ8ࡣ㸪௨ୗࡢ࡜࠾ࡾ࡛࠶ࡿ㸬Wt* 㸸ᶆ‽ሗ㓘⥲㢠qt 㸸ཌ⏕ᖺ㔠ࡢᣐฟ㔠⟬ᐃᑐ㇟⪅ᩘࡢ๭ྜ9Ot 㸸ࡑࡢ௚ᨭฟ㸫ࡑࡢ௚཰ධ
*㸸2008 ᖺᗘࡢཌ⏕ᖺ㔠⤥௜㈝BE08 BE08*
BB08 BB08㸸2008 ᖺᗘࡢᇶ♏ᖺ㔠⤥௜㈝SLt 㸸ࢫࣛ࢖ࢻㄪᩚ⋡㸦㈈ᨻ෌ィ⟬ࡢᶆ‽ⓗ⤒῭๓ᥦ㸦ᑗ᮶᥎ィேཱྀࡣ୰఩᥎ィ㸧࡟┦ᙜࡍࡿࡶࡢ10㸧 ୍᪉㸪௨ୗࡢࢹ࣮ࢱࡣ㸪බ⾲ࡉࢀ࡚࠸࡞࠸ࡇ࡜࠿ࡽ㸪2.2.2 ࡢ᪉ἲ࡟ࡼࡾ᥎ᐃࡋࡓ㸬

NEt* 㸸ཌ⏕ᖺ㔠ࡢ᪂つ⿢ᐃ⪅࡟࠿࠿ࡿᖺ㔠㢠
NBt* 㸸ᇶ♏ᖺ㔠ࡢ᪂つ⿢ᐃ⪅࡟࠿࠿ࡿᖺ㔠㢠set 㸸ཌ⏕ᖺ㔠⤥௜඲య࡟࠿࠿ࡿᅜᗜ㈇ᢸࡢẚ⋡
pet 㸸ཌ⏕ᖺ㔠ࡢ᪤⿢ᐃ⪅ࡢṧᏑ⋡㸦ᖺ㔠㢠࣮࣋ࢫ㸧pbt 㸸ᇶ♏ᖺ㔠ࡢ᪤⿢ᐃ⪅ࡢṧᏑ⋡㸦ᖺ㔠㢠࣮࣋ࢫ㸧 ㈈ᨻࢩ࣑࣮ࣗࣞࢩࣙࣥ࡟⏝࠸ࡓィ⟬ᘧ ᮏࣔࢹ࡛ࣝࡣ㸪බ⾲ࡉࢀ࡚࠸࡞࠸ࢹ࣮ࢱࢆಶࠎ࡟᥎ᐃࡍࡿࡢ࡛ࡣ࡞ࡃ㸪ྛᖺᗘᮎࡢ✚❧㔠ࢆ⟬ᐃࡍࡿࡓࡵࡢ(1)ᘧࡢ
➨ 3 㡯ࢆ X t

BEt  Pt  St ࡜ࡋ㸪ࡇࡢ X t 㸦ಖ㝤ᩱ㈈※࡛㈇ᢸࡍ࡭ࡁᖺ㔠⤥௜11㸧ࢆ᥎ᐃࡍࡿࡇ࡜࡟ࡼࡗ࡚㸪ྛ

7ࡇࡢᩥ⊩ࡣ㸪ཌ⏕ᖺ㔠㸪ᅜẸᖺ㔠ཬࡧྛඹ῭⤌ྜࡢᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬⤖ᯝ࡟ࡘ࠸࡚㸪♫఍ಖ㞀ᑂ㆟఍ᖺ㔠ᩘ⌮㒊఍ࡀྛ୺ົᐁᗇ࠿ࡽࣄ࢔ࣜࣥࢢ➼ࡢㄪᰝࢆ⾜࠸㸪ྲྀࡾࡲ࡜ࡵࡓ㈨ᩱ࡛࠶ࡾ㸪ཌ⏕ᖺ㔠࣭ᅜẸᖺ㔠࡟㛵ࡍࡿᩘ್ࡣཌ⏕ປാ┬㸦2005㸧࡜ྠ୍࡛࠶ࡿ㸬ࡓࡔࡋ㸪ཌ⏕ປാ┬㸦2005㸧࡛ࡣ5 ᖺ࠶
ࡿ࠸ࡣ10 ᖺࡈ࡜ࡢᩘ್ࡢࡳᥖ㍕ࡉࢀ࡚࠸ࡿ⾲ࡀከ࠸ࡀ㸪ᮏ᭩࡟ࡣ୰㛫ᖺࡢᩘ್ࢆྵࡵ࡚ᥖ㍕ࡉࢀ࡚࠸ࡿ㸬ࡑࡢࡓࡵ㸪ᚲせ࡟ᛂࡌ࡚㸪ࡇࡢᩥ⊩ࢆཧ↷ࡋࡓ㸬
8බ⾲ࡉࢀ࡚࠸ࡿ㔠㢠ࢹ࣮ࢱࡢ᭷ຠᩘᏐ㸦඙෇㸧ࡣ㸪ᑠᩘⅬ௨ୗ୍᱆࡛࠶ࡿ㸬9ཌ⏕ປാ┬㸦2005㸧ࡢ➨4㸫6㸫8 ⾲ᇶ♏ᖺ㔠ᣐฟ㔠⟬ᐃ⪅ᩘࡢぢ㏻ࡋ㸦209 ࣮࣌ࢪ㸧10ཌ⏕ປാ┬
㸦2005㸧
ࡢ➨4㸫6㸫7 ⾲බⓗᖺ㔠⿕ಖ㝤⪅ᩘࡢᑗ᮶ぢ㏻ࡋ㸦207 ࣮࣌ࢪ㸧ࡢබⓗᖺ㔠⿕ಖ㝤⪅ᩘࡢῶᑡ⋡࡟ᑑ࿨ࡢఙࡧࢆ຺᱌ࡋࡓ୍ᐃ⋡㸦0.3㸣㸧
ࢆຍ࠼ࡓࡶࡢ࡟┦ᙜࡍࡿ㸬࡞࠾㸪ࡇࡢㄪᩚࡣ㸪2023 ᖺᗘ࡟⤊஢ࡍࡿ㸬11ཌ⏕ປാ┬㸦2005㸧ࡢ➨4㸫9㸫5 ⾲ཌ⏕ᖺ㔠ࡢ㈈ᨻぢ㏻ࡋ㸦249 ࣮࣌ࢪ㸧ࡢ⾲୰㸪ᨭฟྜィ࡜ࡋ࡚⾲グࡉࢀ࡚࠸ࡿࡶࡢ࠿ࡽᅜᗜ㈇ᢸ㢠㸦཰ධྜィ㸫ಖ

―5―

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ᖺᗘᮎࡢ✚❧㔠ࡢ⟬ᐃࢆ⾜ࡗࡓ㸬ලయⓗ࡟ࡣ㸪ᖺ㔠⤥௜඲య࡟࠿࠿ࡿᅜᗜ㈇ᢸ⋡ࢆ⤒῭๓ᥦ࡟࠿࠿ࢃࡽࡎ୍ᐃ㸪ࡍ࡞*ࢃࡕ㸪 sttձ pt

stt (Pt u 0.5  BEt u set ) /(Pt  BEt ) ࡜ࡋ㸪
pet pbt 㸦ཌ⏕ᖺ㔠࡜ᇶ♏ᖺ㔠ࡢ᪤⿢ᐃ⪅ࡢṧᏑ⋡ࡣ➼ࡋ࠸㸬㸧ղqqt 㸦ཌ⏕ᖺ㔠ࡢᣐฟ㔠⟬ᐃᑐ㇟⪅ᩘࡀᣐฟ㔠⟬ᐃᑐ㇟඲య࡟༨ࡵࡿ๭ྜࡣ㸪୍ᐃ࡛᥎⛣㸧
ճN(NEt*  NBt* u qt ) u (1 stt* ) ࡜ࡋ㸪ࡇࡢ Nt* 㸦 t d 35 㸧ࢆ 1 ඙෇࡜ࡳ࡞ࡍ㸬࠸࠸࠿࠼ࡿ࡜㸪᪂つ*t⿢ᐃ⪅࡟࠿࠿ࡿึᖺᗘᨭฟࡢྜィ㸦ᨭฟ࡜ࡋ࡚⾲グࡉࢀ࡚࠸ࡿࡶࡢ࠿ࡽᅜᗜ㈇ᢸࢆ᥍㝖ࡋࡓ㢠࡟┦ᙜࡍࡿࡶࡢ㸧ࡣ㸪ᶆ‽ⓗ࡞⤒῭๓ᥦࡢࡶ࡜࡛ࡣ 2035 ᖺᗘࡲ࡛ 1 ඙෇㸦2009 ᖺᗘ౯᱁㸧୍࡛ᐃ12ࢆ௬ᐃࡋࡓ㸬 Pt

Xt

BBt u qt ࡛࠶ࡿࡇ࡜ࡢ࡯࠿㸪ୖグղࡢ௬ᐃ࡟ࡼࡾ㸪BEt  Pt  St
BEt  Pt  ( BEt  Pt ) u stt( BEt  BBt u qt ) u (1  stt )( BEt  BBt u q) u (1  stt* )࡛࠶ࡾ㸪(2)ᘧཬࡧ(3)ᘧ୪ࡧ࡟ձཬࡧճࡢ௬ᐃ࡟ࡼࡾ㸪

Xt((BEt 1 u pt 1 u (CPIt 1 / CPIt 2 )  NEt* u At 2 ) u (1  SLt ) (BBt 1 u pt 1 u (CPIt 1 / CPIt 2 )  NBt* u At 2 ) u (1  SLt ) u q) u (1  stt* )(BEt 1  BBt 1 u q) u (1  stt* ) u pt 1 u (CPIt 1 / CPIt 2 ) u (1  SLt )………... (3) ( NEt*  NBt* u q) u (1  stt* ) u At 2 u (1  SLt )X t 1 u pt 1 u (CPIt 1 / CPIt 2 ) u (1  SLt )  Nt* u At 2 u (1  SLt )X t 1 u pt 1 u (CPIt 1 / CPIt 2 ) u (1  SLt )  At 2 u (1  SLt )ࡀᚓࡽࢀ㸪ྛᖺᗘᮎࡢ✚❧㔠ࡣ㸪Ft

Ft 1  Ct  It  X t  Ot …………………………………………………………... (4)࡟ࡼࡾ㸪2008 ᖺᗘࢆึᮇ್࡜ࡋ࡚㸪ཌ⏕ປാ┬ࡢ㈈ᨻ෌ィ⟬⤖ᯝࢆ⏝࠸࡚⟬ᐃࡍࡿࡇ࡜ࡀྍ⬟࡜࡞ࡿ㸬ࡓࡔࡋ㸪 pt ࡣ᪤⿢ᐃ⪅ࡢṧᏑ⋡࡛࠶ࡾ㸪ᮏ᮶ࡣᅜẸᖺ㔠࡜ཌ⏕ᖺ㔠ࡢṧᏑ⋡ࡢຍ㔜ᖹᆒࢆ⏝࠸ࡿ࡭ࡁ࡛࠶ࡿࡀ㸪௬ᐃճ࡟࠾࠸࡚㸪᪂つ⿢ᐃ⪅࡟࠿࠿ࡿึᖺᗘᨭฟࡢྜィࢆ 1 ඙෇࡜௬ᐃࡋ࡚࠸ࡿࡇ࡜࠿ࡽ㸪㈈ᨻ෌ィ⟬ࡢ๓ᥦࢆࡑࡢࡲࡲ⏝࠸ࡿࡇ࡜ࡣ
*ᚲࡎࡋࡶ㐺ᙜ࡛ࡣ࡞࠸㸬ࡑࡇ࡛㸪 (3)ᘧࢆ㈈ᨻ෌ィ⟬ࡢᶆ‽ⓗ⤒῭๓ᥦ࡟ᙜ࡚ࡣࡵࡿ࡜㸪 At 2

X t*

1 ࡛࠶ࡿࡇ࡜࠿ࡽ㸪X t*1 u pt 1 u (CPIt*1 / CPIt*2 ) u (1  SLt )  At*2 u (1  SLt )( X t*1 u pt 1 u (CPIt*1 / CPIt*2 )  1) u (1  SLt )࡜࡞ࡿ㸬ࡇࢀࢆ pt ࡟㛵ࡋ࡚ゎࡃ࡜㸪

pt§ X t*1·1¨¨
1¸¸ u ***© 1  SLt 1 ¹ X t u CPIt / CPIt 1࡜࡞ࡾ㸪ࡇࡢᘧ࡟ࡼࡾ᥎ᐃࡋࡓ pt ࢆୖグ(3)ᘧ࡟㐺⏝ࡋ㸪(4)ᘧ࡟ࡼࡿࢩ࣑࣮ࣗࣞࢩࣙࣥࢆᐇ᪋ࡋࡓ㸬ᮏࢩ࣑࣮ࣗࣞࢩ

㝤ᩱ཰ධ㸫㐠⏝཰ධ㸧ࢆ᥍㝖ࡋࡓࡶࡢ࡟┦ᙜࡍࡿ㸬࡞࠾㸪ᮏࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪➃ᩘฎ⌮࡟ࡼࡿㄗᕪࢆ࡛ࡁࡿ㝈ࡾ㑊ࡅࡿほⅬ࠿ࡽ㸪ࡇࡢᅜᗜ㈇ᢸ㢠࡟ࡘ࠸࡚㸪♫఍ಖ㞀ᑂ㆟఍ᖺ㔠ᩘ⌮㒊఍㸦2006㸧ࡢ1-5 ㈈ᨻぢ㏻ࡋ㸦ཌ⏕ᖺ㔠㸧ࡢ⾲㸦203 ࣮࣌ࢪ㸧ࡢᩘ್ࢆ⏝࠸ࡓ㸬
12᪂つ⿢ᐃ⪅࡟࠿࠿ࡿࡇࡢᐃ⩏ࡢᨭฟࡢྜィࡣබ⾲ࡉࢀ࡚࠸࡞࠸ࡓࡵ㸪2035 ᖺᗘࡲ࡛1 ඙෇㸦2009 ᖺᗘ౯᱁㸧࡜ࡋࡓ㸬ᚋ㏙ࡍࡿࡼ࠺࡟㸪ࡇࡢᐃ⩏ࡢᨭ
ฟࢆ1 ඙෇࡛ᅛᐃࡍࡿࡇ࡜࡟ࡼࡾ㸪ཌ⏕ປാ┬ࡢ㈈ᨻ෌ィ⟬⤖ᯝ࡜ࡼࡃ୍⮴ࡍࡿ㸬

―6―

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日本保険・年金リスク学会誌 Vol.6 No.1 2014࡛ࣙࣥࡣ㸪᪂つ⿢ᐃ⪅࡟࠿࠿ࡿึᖺᗘᨭฟࡢྜィࢆ 1 ඙෇㸦๓グճ㸧࡜௬ᐃࡋࡓࡀ㸪ࡇࡢṧᏑ⋡ࡢ᥎ᐃ࡟ࡼࡾ㸪⤖ᯝ࡜ࡋ࡚ࡑࡢㄗᕪࡀ࡯࡜ࢇ࡝ᡴࡕᾘࡉࢀ࡚࠸ࡿ㸬ࡇࡢⅬ࡟ࡘ࠸࡚ࡣ 2.2.3 ࡟࠾࠸࡚♧ࡍ㸬 ㈈ᨻ෌ィ⟬⤖ᯝ࡜ࢩ࣑࣮ࣗࣞࢩࣙࣥ⤖ᯝ࡜ࡢẚ㍑

 ᮏࢩ࣑࣮ࣗࣞࢩࣙࣥࡣ㸪᪂つ⿢ᐃ⪅࡟࠿࠿ࡿᨭฟ࡟㛵ࡍࡿ᝿ᐃ࡞࡝㸪㈈ᨻ෌ィ⟬࡜ࡣᚲࡎࡋࡶྠ୍ࡢィ⟬᪉ἲࢆ⏝࠸࡚࠸ࡿࢃࡅ࡛ࡣ࡞࠸㸬ᶆ‽ⓗ⤒῭๓ᥦ࡛ࡣ㸪୧⪅ࡢィ⟬⤖ᯝࡀ୍⮴ࡍࡿࡼ࠺ pt ࢆᐃࡵ࡚࠸ࡿࡀ㸪㈤㔠ୖ᪼⋡ࡸ㐠⏝฼ᅇࡾ࡞࡝ࡢ⤒῭ኚᩘࡀኚືࡋࡓሙྜ࡟㸪ࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥ⏝࠸ࡓィ⟬᪉ἲࡀ㐺ษ࡛࠶ࡿಖドࡣ࡞࠸㸬ࡑࡇ࡛㸪⤒῭ኚᩘࡀኚືࡋࡓሙྜ࡟㸪ࡇࡢィ⟬ᘧࢆ⏝࠸ࡿࡇ࡜࡟ࡼࡗ࡚࡝ࡢ⛬ᗘࡢㄗᕪࡀ⏕ࡌ࠺ࡿ࠿ホ౯ࡍࡿࡓࡵ࡟㸪㈈ᨻ෌ィ⟬࡜ẚ㍑ྍ⬟࡞ᴦほⓗ⤒῭๓ᥦཬࡧᝒほⓗ⤒῭๓ᥦ13ࢆ⏝࠸࡚㸪Ỵᐃㄽⓗࢩ࣑࣮ࣗࣞࢩࣙࣥࢆ⾜ࡗࡓ㸬⾲⾲ 1 ࡣ㸪ཌ⏕ᖺ㔠ࡢᨭฟ࠿ࡽᅜᗜ㈇ᢸ㢠ࢆ᥍㝖ࡋࡓ㢠㸦ಖ㝤ᩱ㈈※࡛㈇ᢸࡍ࡭ࡁᖺ㔠⤥௜ X t 㸧࡟ࡘ࠸࡚㸪ࡑࢀࡽࡢᑗ᮶ぢ㏻ࡋ⤖ᯝࢆẚ㍑ࡋࡓࡶࡢ࡛࠶ࡿ㸬 ࢩ࣑࣮ࣗࣞࢩࣙࣥ⤖ᯝ࡜㈈ᨻ෌ィ⟬⤖ᯝࢆẚ㍑ࡍࡿ࡜㸪ᶆ‽ⓗ⤒῭๓ᥦ࡛ࡣᙜ↛୍⮴ࡍࡿࡀ㸪ᴦほⓗ⤒῭๓ᥦ㸪ᝒほⓗ⤒῭๓ᥦࡢ࠸ࡎࢀࡶ኱ࡁ࡞㐪࠸ࡣぢࡽࢀ࡞࠸㸬ࡇࢀࡣ㸪᪂つ⿢ᐃ⪅࡟࠿࠿ࡿᨭฟࡣᖺ㔠⤥௜඲య࠿ࡽࡳࢀࡤࡑࡢ
๭ྜࡀᑠࡉ࠸ࡇ࡜࠿ࡽ㸪ࡇࢀࡽ࡟ⱝᖸࡢㄗᕪࡀ࠶ࡗࡓ࡜ࡋ࡚ࡶ㸪ཌ⏕ᖺ㔠ࡢᨭฟࡸ✚❧㔠࡞࡝㸪཰ᨭぢ㏻ࡋ࡟୚࠼ࡿ
ᙳ㡪ࡣ㍍ᚤ࡛࠶ࡿ࡜⪃࠼ࡽࢀࡿ࠿ࡽ࡛࠶ࡿ㸬⾲ 1 ㈈ᨻ෌ィ⟬⤖ᯝ࡜ࢩ࣑࣮ࣗࣞࢩࣙࣥ⤖ᯝࡢẚ㍑㸦ཌ⏕ᖺ㔠ࡢᨭฟ࠿ࡽᅜᗜ㈇ᢸࢆ᥍㝖ࡋࡓ㢠㸪༢఩㸸඙෇㸧ᖺᗘ㈈ᨻ෌ィ⟬⤖ᯝ䝅䝭䝳䝺䞊䝅䝵䞁⤖ᯝ

ㄗᕪ

ᶆ‽

ᴦほ

ᝒほ

ᶆ‽

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ᴦほ

ᝒほ

㻞㻜㻝㻜

㻟㻜㻚㻠

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㻙㻜㻚㻞

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㻞㻜㻞㻡

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 ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢᮲௳࡜㈈ᨻ≧ἣࡢホ౯࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡣ㸪࠾࠾ࡴࡡ 100 ᖺᚋ14࡟ண ࡉࢀࡿ✚❧㔠ࡢ㢠ࡀࡑࡢᖺᗘࡢᨭฟࢆୖᅇࡿࡇ࡜ࡀぢ㎸ࡲࢀࡿሙྜ࡟⤊஢ࡍࡿࡶࡢ࡜ࡉࢀ࡚࠸ࡿ㸬࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡀ 2023 ᖺᗘ㸦 t

23 㸧࡛⤊஢ࡍࡿࡓࡵ࡟ࡣ㸪௨ୗࡢ୙➼ᘧࢆ‶ࡓࡍࡇ࡜ࡀᚲせ࡛࠶ࡿ㸬
99

F23 t ¦ ( X t  Ct )vt 23.5 ( X100  S100)v9923 㸦 v 1.0321 㸧…………………... (5)t 24ࡇࡇ࡛㸪௬࡟⤥௜㈝࣭ಖ㝤ᩱ཰ධ࣭ᅜᗜ㈇ᢸ㢠ࡢ࠸ࡎࢀࡶ㈤㔠ୖ᪼⋡࡟ᛂࡌ࡚ቑῶࡍࡿࡶࡢ15 ࡜ࡍࡿ࡜㸪At

Xt / Xt* Ct / Ct* St / St* ࡜㏆ఝ࡛ࡁࡿࡇ࡜࠿ࡽ㸪(5)ᘧࡣ㸪

13㈈ᨻ෌ィ⟬࡟࠾ࡅࡿᴦほⓗ⤒῭๓ᥦࡢ㈤㔠ୖ᪼⋡㸪ᾘ㈝⪅≀౯ୖ᪼⋡ཬࡧ㐠⏝฼ᅇࡾࡣ㸪ࡑࢀࡒࢀ㸪2.5㸣㸪1.0㸣ཬࡧ3.3㸣࡛࠶ࡾ㸪ྠᵝ࡟㸪ᝒほⓗ⤒῭๓ᥦ࡛ࡣ㸪1.8㸣㸪1.0㸣ཬࡧ3.1㸣࡛࠶ࡿ㸬
14
100 ᖺᚋࡢᐃ⩏ࡀ᫂☜࡟ࡉࢀ࡚࠸࡞࠸ࡀ㸪ࡇࡇ࡛ࡣ2100 ᖺᗘᮎ࡜ࡋࡓ㸬
15Ᏻᐃேཱྀ࡛ࡣࡇࡢ௬ᐃࡣᡂ❧ࡍࡿࡀ㸪㠀Ᏻᐃேཱྀ࡛ࡣᚲࡎࡋࡶᡂ❧ࡍࡿ࡜ࡣ㝈ࡽ࡞࠸㸬ࡇࡇ࡛ࡣ㸪㏆ఝⓗ࡟ࡇࡢ௬ᐃࡀᡂ❧ࡍࡿࡶࡢ࡜ࡋࡓ㸬―7―

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99

*
*
F23 t ¦( At X t*  At Ct* )vt 23.5 ( A100X100
 A100S100)v9923t 24࡜࡞ࡿ㸬࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ࡢุᐃ࡟⏝࠸ࡿ 2024 ᖺᗘ௨㝆ࡢ⤒῭๓ᥦ࡜ࡋ࡚㸪㈈ᨻ෌ィ⟬ࡢᶆ‽ⓗ࡞๓ᥦ᮲௳
ࢆ⏝࠸ࡿ࡜㸪 At ࡣ t t 23 ୍࡛ᐃ࡜࡞ࡿࡇ࡜࠿ࡽ㸪

§ 99
·
*
*
F23 t A23¨ ¦ ( X t*  Ct* )vt 23.5 ( X100
)v9923 ¸
 S100© t 24¹*㈈ᨻ෌ィ⟬ࡢᶆ‽ⓗ࡞⤒῭๓ᥦࡢሙྜ࡟࠾ࡅࡿ 2023 ᖺᗘᮎࡢ✚❧㔠 F23 ࡟㛵ࡋ࡚ࡣ㸪(5)ᘧࡀ➼ྕ࡜ࡋ࡚ᡂ❧ࡋ࡚࠸ࡿࡇ࡜࠿ࡽ㸪

F23 t A23 u F23*

F23 F23*w23*
t * …………………………………... (6)
u
F

ࡲࡓࡣ
23
*
w23 w23
w23ࢆ‶ࡓࡍ࡜ࡁ࡟㸪2023 ᖺᗘࡲ࡛࡟࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆ⤊஢ࡍࡿࡇ࡜ࡀྍ⬟࡜࡞ࡿ㸬**࡞࠾㸪(6)ᘧ࡟࠾ࡅࡿ F23 / w23 ࠶ࡿ࠸ࡣ F23 / w23 ࡣ㸪✚❧㔠ࡢྡ┠㢠ࢆ㈤㔠ᣦᩘ࡛㝖ࡋࡓࡶࡢ࡛࠶ࡾ㸪ࠕᖹᡂ 16 ᖺᗘ౯᱁ࠖ16࡟┦ᙜࡍࡿ㸬ࡓࡔࡋ㸪㈈ᨻ෌ィ⟬࡟࠾ࡅࡿᖹᡂ 16 ᖺᗘ౯᱁ࡣ㸪ṇ☜࡟ࡣ㸪㈤㔠ᣦᩘ࡛ࡣ࡞ࡃ㸪ᅜẸᖺ㔠ಖ**㝤ᩱࡢᨵᐃ⋡࡛๭ࡾᘬ࠿ࢀ࡚࠸ࡿࡓࡵ㸪 F23 / w23 ࡣ㈈ᨻ෌ィ⟬࡟࠾ࡅࡿᖹᡂ 16 ᖺᗘ౯᱁ࡢ✚❧㔠㸦2023 ᖺᗘᮎ㸧࡟ࡣ୍⮴ࡋ࡞࠸㸬ᅜẸᖺ㔠ࡢಖ㝤ᩱࡣ㸪๓ࠎᖺᗘࡢ≀౯ኚື⋡࡟ 4 ᖺ๓ࡢᖺᗘࡢᐇ㉁㈤㔠ኚື⋡㸦5 ᖺ๓࠿ࡽ 3 ᖺ๓ࡲ࡛ࡢᶆ‽ሗ㓘㢠➼ࡢኚື⋡ࡢ 3 ᖺᖹᆒ್㸧ࢆ஌ࡌࡓࡶࡢ࡛ᨵᐃࡉࢀࡿࡓࡵ㸪㈈ᨻ෌ィ⟬㸦ᶆ‽ⓗ࡞⤒῭๓ᥦ㸧࡟࠾ࡅࡿᖹᡂ 16 ᖺᗘ౯᱁ࡢ✚❧㔠ࡣ㸪
*
§ *
·
CPI21
*
*
¸
u w19
u w20
u
F23* y ¨¨ 3 w18* ¸
CPI19 ¹©

࡜ࡋ࡚ィ⟬ࡉࢀ࡚࠸ࡿ㸬ࡑࡇ࡛㸪*
k u w23

3

*
*
*
w18
u w19
u w20
u

*
CPI21
*
CPI19

࡜࡞ࡿࡼ࠺ k ࢆᐃࡵ㸪௨ୗࡢࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪 Ft /(k u wt ) ࡟ࡼࡾ㸪t ᖺᗘᮎ✚❧㔠ࡢᖹᡂ 16 ᖺᗘ౯᱁ࢆィ17⟬ࡋࡓ㸬࡞࠾㸪k=0.9342 ࡛࠶ࡿ㸬ࡼࡗ࡚㸪ᐇ㉁ⓗ࡞✚❧㔠㸦ᖹᡂ 16 ᖺᗘ౯᱁㸧ࡣ㸪㏆ఝⓗ࡟㸪බⓗᖺ㔠ࡢ㈇മࢆ⪃៖ࡋࡓ㈈ᨻ≧ἣࢆ⾲ࡍᣦᶆ࡜⪃࠼ࡿࡇ࡜ࡀྍ⬟࡛࠶ࡾ㸪ࡇࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࢆィ ࡍࡿࡇ࡜࡟ࡼࡗ࡚㸪⤒῭ኚᩘࡢ☜⋡ኚືࡢᙳ㡪ࡢホ౯ࡸ࣏࣮ࢺࣇ࢛ࣜ࢜㑅ᢥࡢホ౯ࡀ࡛ࡁࡿࡇ࡜࡜࡞ࡿ㸬࡞࠾㸪ᑗ᮶ࡢ࠶ࡿ᫬Ⅼ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢỈ‽ࡀ㸪ᖹᡂ 16
ᖺ㈈ᨻ෌ィ⟬⤖ᯝࢆୗᅇࡗ࡚࠸ࡿ≧ែࡣ㸪
ᖹᡂ 16 ᖺᨵṇ࡛᝿ᐃࡋࡓ㈈ᨻ≧ἣࡼࡾࡶᝏࡃ࡞ࡗ࡚࠸ࡿࡇ࡜ࢆព࿡ࡋ࡚࠾
ࡾ㸪ゝ࠸᥮࠼ࡿ࡜㸪ࡇࡢሙྜ㸪⌧ᐇ♫఍࡛ࡣ㸪₯ᅾⓗ࡟㸪ᡤᚓ௦᭰⋡ࢆ 50.2㸣ࡼࡾᘬࡁୗࡆࡿ࠿ఱࡽ࠿ࡢไᗘᨵṇࢆᐇ᪋ࡍࡿ࠿ࡢ㑅ᢥࢆ㏕ࡽࢀࡿ≧ἣୗ࡟࠶ࡿ࡜࠸࠺ࡇ࡜࡟࡞ࡿ㸬16㈈ᨻ෌ィ⟬ሗ࿌᭩࡛ࡣ㸪ᖹᡂ16 ᖺᗘ౯᱁ࡣ㸪ྡ┠㢠ࢆ㈤㔠ୖ᪼⋡࡛๭ࡾᘬ࠸ࡓࡶࡢ࡜ὀグࡉࢀ࡚࠸ࡿࡀ㸪ᐇ㝿࡟ࡣ␗࡞ࡿ๭ᘬ⋡㸦ᅜẸᖺ㔠ࡢಖ㝤ᩱࡢᨵᐃ⋡㸧࡛ィ⟬ࡉࢀ࡚࠸ࡿ㸬┤ほⓗ࡞ࢃ࠿ࡾࡸࡍࡉ࡟㓄៖ࡋࡓグ㏙࡜⪃࠼ࡽࢀࡿࡀ㸪ᮏ᮶ࡣṇࡋ࠸ὀグ࡜ࡍ࡭ࡁ࡛࠶ࡿ㸬17㈈ᨻ෌ィ⟬ࡢᶆ‽ⓗ⤒῭๓ᥦ࡛ࡣ㸪2016 ᖺᗘ௨㝆㸪୍ᐃࡢ㈤㔠ୖ᪼⋡ཬࡧᾘ㈝⪅≀౯ୖ᪼⋡ࡀ᝿ᐃࡉࢀ࡚࠸ࡿ㸬ࡋࡓࡀࡗ࡚㸪ࡇࡢ๓ᥦࡢỴᐃㄽⓗࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪2021 ᖺᗘ௨㝆ࡢ k ࡣ୍ᐃ࡜࡞ࡿ㸬࡞࠾㸪☜⋡ࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣࡇࡢ㝈ࡾ࡛ࡣ࡞࠸ࡀ㸪ࡇࡇ࡛ࡣ㸪ྠ୍ࡢ k ࢆ⏝࠸ࡓ㸬

―8―

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2014/03/17 10:53:38

日本保険・年金リスク学会誌 Vol.6 No.1 2014 ࣜࢫࢡ࡜ࣜࢱ࣮ࣥࡢᣦᶆ ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆホ౯ࡍࡿ㝿࡟࠾ࡅࡿࣜࢫࢡ࡜ࣜࢱ࣮ࣥᣦᶆࡣ㸪࠶ࡿᖺᗘࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸ࠿ࡽస
ᡂࡍࡿࡇ࡜࡜࡞ࡿ㸬බⓗᖺ㔠✚❧㔠ࡢ⟶⌮㐠⏝18ࡢࡓࡵࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪30 ᖺ⛬ᗘࡢ㛗ᮇࢫࣃࣥࡢ㈈ᨻ≧ἣࢆ⪃៖ࡋ࡚⟇ᐃࡉࢀࡿࡇ࡜࠿ࡽ㸪ࣜࢱ࣮ࣥࡢᣦᶆ࡜ࡋ࡚ࡣ㸪2035 ᖺᗘᮎ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢ㢠ࡢᮇᚅ್ࢆ᥇⏝ࡋࡓ㸬ࡲࡓ㸪ࣜࢫࢡᣦᶆ࡜ࡋ࡚ࡣ㸪2035 ᖺᗘᮎ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢ㢠ࡢᶆ‽೫ᕪ୪ࡧ࡟┠ᶆ್ࢆ㈈ᨻ෌ィ⟬ࡢᶆ‽ࢣ࣮ࢫࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ㢠࡜ࡋࡓሙྜࡢࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ཬࡧୗ᪉㒊ศ✚⋡㸦ࡇࡇ࡛ࡣ୍ḟࡢࡶࡢࢆ⏝࠸ࡿ㸬㸧ࢆ᥇⏝ࡋࡓ㸬 ᶆ‽೫ᕪ ᶆ‽೫ᕪࡣ㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್࠿ࡽࡢࣈࣞࡢ኱ࡁࡉࢆ⾲ࡍᣦᶆ࡛࠶ࡿ㸬ᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ኚືࡣ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ᖺ㸦ᡤᚓ௦᭰⋡㸧ࡢ☜⋡ኚື࡜࠾࠾ࡴࡡྠ⩏࡜⪃࠼ࡽࢀࡿࡇ࡜࠿ࡽ㸪ࡇࡢᶆ‽೫ᕪࢆᑠࡉࡃࡍ
ࡿᡓ␎ࡣ㸪⤒῭ኚືࡀ㉳ࡁࡓሙྜ࡛ࡶ㸪ᡤᚓ௦᭰⋡ࢆ࡛ࡁࡿ㝈ࡾኚືࡉࡏ࡞࠸ࡇ࡜ࢆព࿡ࡋ࡚࠸ࡿ㸬ᶆ‽೫ᕪV ࡣ㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࢆ x 㸪☜⋡ᐦᗘ㛵ᩘࢆ f (x) ࡜ࡋࡓ࡜ࡁ㸪(7)ᘧ࡛⾲ࡉࢀࡿ㸬Vf³ (x  x) f (x)dx …………………………………………………………... (7)2fᮏ✏ࡢࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪(8)ᘧཬࡧ(9)ᘧ࡟ࡼࡾ㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ཬࡧᶆ‽೫ᕪࢆ᥎ᐃࡋࡓ㸬1xˆ
¦ x …………………………………………………………... (8)
n i i
1
V̂
¦(x  x)2 …………………………………………………………... (9)n i i ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡣ㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢ㢠ࡀ┠ᶆ್ࢆୗᅇࡿ☜⋡࡛࠶ࡿ㸬ࡇࡢ┠ᶆ್ࡀ㈈ᨻ෌ィ⟬ࡢண ್࡛࠶ࡿሙྜ࡟ࡣ㸪ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬࡛᝿ᐃࡋ࡚࠸ࡓ㈈ᨻ≧ἣࡼࡾࡶᝏࡃ࡞ࡿ☜⋡ࢆព࿡ࡋ࡚࠸ࡿ㸬ࡇࡢሙྜ㸪⌧ᐇࡢไᗘ࡛ࡣ㸪㈈ᨻ෌ィ⟬࡛ணᐃࡋ࡚࠸ࡓ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ᖺࡀᘏ㛗ࡉࢀ㸪ᡤᚓ௦᭰⋡ࡣண ್㸦50.2㸣㸧ࡼࡾపࡃ࡞ࡿࡇ࡜࡜࡞ࡿ㸬ࡇࡢࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆᑠࡉࡃࡍࡿᡓ␎ࡣ㸪ᡤᚓ௦᭰⋡ࡀ୍ᐃỈ‽௨ୗ࡜࡞ࡿ☜⋡ࢆ࡛ࡁࡿ㝈ࡾᑠࡉࡃࡍࡿࡇ࡜ࢆព࿡ࡋ࡚࠸ࡿ㸬ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ SF(E ) ࡣ㸪┠ᶆ್ࢆ E ࡜ࡋࡓ࡜ࡁ㸪(10)ᘧ࡛⾲ࡉࢀࡿ㸬

SF(E ) Pr(x  E ) ………………………………………………………... (10)ᮏ✏ࡢࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪(11)ᘧ࡟ࡼࡾ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆ᥎ᐃࡋࡓ㸬SFˆ (E )1¦1 …………………………………………………………... (11)n xi E ୗ᪉㒊ศ✚⋡

ᐇ㉁ⓗ࡞✚❧㔠ࡀ㸪┠ᶆ್㸦ࡓ࡜࠼ࡤ㸪㈈ᨻ෌ィ⟬ࡢண ್㸧ࢆୗᅇࡿ್ࡢᮇᚅ್࡛࠶ࡿ㸬┠ᶆ್ࢆୖᅇࡿሙྜࡣ㸪ࢮࣟ࡜ࡋ࡚ᮇᚅ್ࢆ⟬ᐃࡍࡿ㸬ࡇࡢୗ᪉㒊ศ✚⋡ࢆᑠࡉࡃࡍࡿᡓ␎ࡣ㸪┠ᶆ್ࢆୗᅇࡗࡓሙྜ࡟࠾ࡅࡿ୙㊊㢠ࢆ࡛ࡁ18ᇶᮏⓗ࡞⪃࠼᪉࡟ࡘ࠸࡚ࡣ㸪ᖺ㔠✚❧㔠⟶⌮㐠⏝⊂❧⾜ᨻἲேࡢ࢙࢘ࣈࢧ࢖ࢺࢆཧ↷ࡢࡇ࡜㸬<http://www.gpif.go.jp/operation/foundation/index.html>㸦࢔ࢡࢭࢫ᪥㸸2012 ᖺ4 ᭶5 ᪥㸧

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2014/03/17 10:53:39ࡿ㝈ࡾᑡ㢠࡟࡜࡝ࡵࡿࡇ࡜ࢆព࿡ࡋ࡚࠸ࡿ㸬ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡀ㸪༢࡟┠ᶆ್ࢆୗᅇࡿ࠿㐩ᡂࡍࡿ࠿ࡢࡳࢆၥ㢟࡟ࡋ࡚࠸ࡿࡇ࡜࡟ᑐࡋ࡚㸪ୗ᪉㒊ศ✚⋡࡛ࡣୗ᣺ࢀࡢ኱ࡁࡉࢆ⪃៖ࡋ࡚࠸ࡿࡇ࡜࡟࡞ࡿ㸬㈈ᨻ≧ἣࡀᝏ໬ࡋࡓࢣ࣮ࢫ
࡛ࡣ㸪࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࡢ⤊஢ᖺࡀᘏ㛗ࡉࢀ㸪ᡤᚓ௦᭰⋡ࡣࡉࡽ࡟ᘬࡁୗࡆࡽࢀࡿࡀ㸪ࡑࡢሙྜ࡛࠶ࡗ࡚ࡶ㸪పୗᖜࢆ᭱ᑠ㝈࡟࡜࡝ࡵࡿࡇ࡜ࢆព࿡ࡋ࡚࠸ࡿ㸬ୗ᪉㒊ศ✚⋡ LPM(E ) ࡣ㸪┠ᶆ್ࢆ E ࡜ࡋࡓ࡜ࡁ㸪(12)ᘧ࡛⾲ࡉࢀࡿ㸬

LPM(E )

E

³ (E  x) f (x)dx ……………………………………………………... (12)fᮏ✏ࡢࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪(13)ᘧ࡟ࡼࡾ㸪ୗ᪉㒊ศ✚⋡ࢆ᥎ᐃࡋࡓ㸬LPˆ M (E )1¦(E  xi ) …………………………………………………………... (13)n xi E ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᳨ド ྛ✀⤒῭ኚᩘࡢ☜⋡ศᕸ  ྛ✀⤒῭ኚᩘࡢ☜⋡ศᕸࡢ௬ᐃ࡜࣏࣮ࢺࣇ࢛ࣜ࢜ࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥศᕸ ྛ✀⤒῭ኚᩘࡢ☜⋡ศᕸ࡟ࡘ࠸࡚ࡣ㸪⌧⾜࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ๓ᥦ19࡜࡞ࡗࡓ☜⋡ศᕸࢆ⏝࠸ࡓࡀ㸪≀౯ୖ᪼⋡ཬࡧ㈤㔠ୖ᪼⋡ࡢ☜⋡ศᕸ࡟ࡘ࠸࡚ࡣ㸪㐣ཤࡢᐇ⦼ࢆᇶ♏࡜ࡋ࡚᝿ᐃࡋࡓ20㸬ࡇࢀࡽࡢ⤒῭ኚᩘࡣከኚ㔞ṇつศᕸ࡟ᚑ࠺
ࡶࡢ࡜ࡋ㸪ᮇᚅ್㸪ᶆ‽೫ᕪཬࡧ┦㛵ಀᩘࡣ㸪⾲ 2 ཬࡧ⾲ 3 ࡢ࡜࠾ࡾ࡛࠶ࡿ㸬ḟ⠇௨㝆ࡢ☜⋡ࢩ࣑࣮ࣗࣞࢩ࡛ࣙࣥࡣ㸪ࡇࢀࡽࡢ⤒῭ኚᩘ࡟ࡘ࠸࡚ከኚ㔞ṇつ஘ᩘࢆⓎ⏕ࡉࡏ㸪ྛ࣏࣮ࢺࣇ࢛ࣜ࢜㸦ྛ㈨⏘ࢡࣛࢫࡢᵓᡂ๭ྜࢆ 1㸣้ࡳ࡛タ
ᐃࡋࡓ 152,096 ㏻ࡾ㸧࡟ࡘ࠸࡚㸪(4)ᘧ࡟ࡼࡿ 10000 ᅇࡢࢩ࣑࣮ࣗࣞࢩࣙࣥࢆᐇ᪋ࡋ㸪2035 ᖺᗘᮎ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢ㢠㸦 F35 /(k u w35) 㸧ࡢࣜࢱ࣮ࣥ㸦ᮇᚅ್㸧࡜ࣜࢫࢡ㸦ᶆ‽೫ᕪ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡲࡓࡣୗ᪉㒊ศ✚⋡㸧ࡢ᥎ィࢆ⾜ࡗࡓ㸬⾲ 2 ྛ⤒῭ኚᩘࡢᮇᚅ್ཬࡧᶆ‽೫ᕪᅜෆമๆ ᅜෆᰴᘧ እᅜമๆ እᅜᰴᘧ ▷ᮇ㈨⏘ ≀౯ୖ᪼ ㈤㔠ୖ᪼
ᮇᚅ್

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㻟㻚㻡㻑

㻡㻚㻜㻑

ᶆ‽೫ᕪ

㻡㻚㻠㻞㻑

㻞㻞㻚㻞㻣㻑

㻝㻠㻚㻜㻡㻑

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䇷

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19
ᖺ㔠✚❧㔠⟶⌮㐠⏝⊂❧⾜ᨻἲே➨6 ᅇ㐠⏝ጤဨ఍㸦ᖹᡂ 18 ᖺ12 ᭶18 ᪥㸧㈨ᩱ2ࠕᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᳨ド࡟ࡘ࠸࡚ࠖ
<http://www.gpif.go.jp/operation/committee/pdf/h181218_appendix_02.pdf >㸦࢔ࢡࢭࢫ᪥㸸2012 ᖺ4 ᭶5 ᪥㸧ࢆཧ↷ࡢࡇ࡜㸬
20ᮇᚅ್ࡣ㸪㈈ᨻ෌ィ⟬ࡢ๓ᥦ࡜ྠࡌ࡜ࡋ㸪ᶆ‽೫ᕪཬࡧ௚ࡢ⤒῭ኚᩘ㸦ྛ㈨⏘ࢡࣛࢫࡢ཰┈⋡㸧࡜ࡢ┦㛵ಀᩘ࡟ࡘ࠸࡚ࡣ㸪1973 ᖺ㹼2003 ᖺࡢᐇ⦼್
ࢆ⏝࠸ࡓ㸬

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日本保険・年金リスク学会誌 Vol.6 No.1 2014

⾲ 3 ྛ⤒῭ኚᩘࡢ┦㛵ಀᩘᅜෆമๆ ᅜෆᰴᘧ እᅜമๆ እᅜᰴᘧ ▷ᮇ㈨⏘ ≀౯ୖ᪼ ㈤㔠ୖ᪼
ᅜෆമๆ

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ᅜෆᰴᘧ

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እᅜമๆ

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≀౯ୖ᪼

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ᅗ 1 ࡣ㸪ఏ⤫ⓗ 4 ㈨⏘ࡢࡍ࡭࡚ࡢ⤌ࡳྜࢃࡏ㸦1㸣้ࡳ㸧࡟ࡘ࠸࡚㸪ࡑࡢᮇᚅࣜࢱ࣮ࣥ㸦཰┈⋡ࡢᖹᆒ㸧࡜ᶆ‽೫ᕪࢆࣉࣟࢵࢺࡋࡓࡶࡢ࡛࠶ࡿ㸬ࡋࡓࡀࡗ࡚㸪⃰࠸‫ە‬༳ࡢ㒊ศࡀ᭷ຠࣇࣟࣥࢸ࢕࢔21࡛࠶ࡿ㸬ࡲࡓ㸪༳ࡢࣉࣟࢵࢺࡣ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜㸦ᅜෆമๆ 6㸵㸣㸪ᅜෆᰴᘧ 11㸣㸪እᅜമๆ 8㸣㸪እᅜᰴᘧ 9㸣㸪▷ᮇ㈨⏘ 5㸣㸧ࡢᮇᚅࣜࢱ࣮ࣥ㸦3.37㸣㸧࡜཰┈⋡ࡢᶆ‽೫ᕪ㸦5.55㸣㸧ࢆ⾲ࡋ࡚࠸ࡿ㸬⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪እ㈌ᘓ࡚㈨⏘࡟୍㒊ไ⣙᮲௳ࡀ࠶ࡾ㸪࠸ࢃࡺࡿ࣮࣒࣍࢔ࢭࢵࢺࣂ࢖࢔ࢫࡀ࠿ࡅࡽࢀ࡚࠸ࡿࡓࡵ࡟ⱝᖸ᭷ຠࣇࣟࣥࢸ࢕࢔࠿ࡽࡎࢀ࡚࠸ࡿࡀ㸪࠾࠾ࡴࡡ᭷ຠࣇࣟࣥࢸ࢕࢔ୖ࡟࠶ࡿ࡜⪃࠼࡚ࡼ࠸㸬ᅗ 1 ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢᮇᚅࣜࢱ࣮ࣥ࡜ᶆ‽೫ᕪ

21ྛ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ㸪ࡑࡢࣜࢫࢡ࡟ᛂࡌ࡚ 0. 1㸣้ࡳ࡟ࢢ࣮ࣝࣉศࡅࡋ㸪ྛࢢ࣮ࣝࣉ࡛᭱኱ࡢࣜࢱ࣮ࣥࡀᚓࡽࢀࡿ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ᭷ຠࣇࣟࣥࢸ࢕࢔
ୖࡢ࣏࣮ࢺࣇ࢛ࣜ࢜࡜ࡋ㸪⃰࠸‫ە‬༳࡛ࣉࣟࢵࢺࡋࡓ㸬―11―

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 ⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢሙྜࡢ✚❧㔠㸦ྡ┠㢠㸧ࡢ☜⋡ศᕸࡢᑗ᮶ぢ㏻ࡋ ⌧⾜ࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ⥔ᣢࡋࡓሙྜ࡟࠾ࡅࡿཌ⏕ᖺ㔠ࡢ✚❧㔠㸦ྡ┠㢠㸧ࡢ☜⋡ศᕸࡢᑗ᮶ぢ㏻ࡋࢆࡳࡓࡶࡢࡀ
ᅗ 2 ࡛࠶ࡿ㸬ࡇࡢ☜⋡ศᕸࡣ 10000 ᅇࡢࢩ࣑࣮ࣗࣞࢩࣙࣥ⤖ᯝࢆ 10 ඙෇้ࡳ࡛ࣉࣟࢵࢺࡋࡓࡶࡢ࡛࠶ࡿ㸬㈈ᨻ෌ィ⟬࡟ࡼࡿ✚❧㔠ࡢᑗ᮶ぢ㏻ࡋࡣ㸪2010 ᖺᗘᮎ࠿ࡽ 2035 ᖺᗘᮎࡲ࡛ 5 ᖺࡈ࡜࡟㸪156.0 ඙෇㸪162.5 ඙෇㸪186.3 ඙෇㸪223.1
඙෇㸪266.6 ඙෇㸪306.1 ඙෇࡛࠶ࡾ㸪⤖ᯝⓗ࡟㸪☜⋡ศᕸࡢࣆ࣮ࢡࡢ㒊ศ࡜࡯ࡰ୍⮴ࡋ࡚࠸ࡿ㸬ࡋ࠿ࡋ࡞ࡀࡽ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢᮇᚅࣜࢱ࣮ࣥ㸦3.37㸣㸧ࡀ㈈ᨻ෌ィ⟬ࡢ㐠⏝฼ᅇࡾࡢ๓ᥦ㸦3.2㸣㸧ࡼࡾⱝᖸ㧗࠸ࡇ࡜࠿ࡽ㸪☜⋡ศᕸࡢ 50㸣ࢱ࢖ࣝࡸᮇᚅ್ࡣ㸪㈈ᨻ෌ィ⟬ࡢ᥎ィ್࡜ࡣⱝᖸ␗࡞ࡗ࡚࠸ࡿ㸬ࡓ࡜࠼ࡤ㸪2035 ᖺᗘᮎ࡛ࡣ㸪☜⋡ศᕸࡢࣆ࣮ࢡࡣ㸪300 ඙෇௨ୖ 310 ඙෇ᮍ‶࡛࠶ࡿࡀ㸪50㸣ࢱ࢖ࣝࡣ 314.7 ඙෇㸪ᮇᚅ್ࡣ 327.8 ඙෇࡛࠶ࡿ㸬ࡇࡢᮇᚅ
್࡜㈈ᨻ෌ィ⟬ࡢᑗ᮶ぢ㏻ࡋ࡜ࡢᕪࡀ㸪ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢᕤኵ࡟ࡼࡿ࣐࣮ࢪ࡛ࣥ࠶ࡿ㸬ࡋࡓࡀࡗ࡚㸪ࡍ࡭࡚ࡢ⤒῭๓ᥦࡀṇࡋ࠸࡜௬ᐃࡍࢀࡤ㸪㈈ᨻ෌ィ⟬ࡣⱝᖸᅛࡵࡢ᥎ィ࡜⪃࠼ࡽࢀࡿ㸬 ḟ࡟ศᕸࡢᙧ≧࡟ࡘ࠸࡚㸪ᖺḟࢆ㏣ࡗ࡚ࡳࡿ࡜ᚎࠎ࡟ᖹࡓࡃ࡞ࡗ࡚࠸ࡃ㸬ࡓ࡜࠼ࡤ㸪2035 ᖺᗘᮎࡢ✚❧㔠ࡢ☜⋡ศᕸࡣ㸪ᮇᚅ್ 327.8 ඙෇࡟ᑐࡋ࡚㸪ᶆ‽೫ᕪࡣ 114.4 ඙෇㸦ኚືಀᩘ 34.9㸣㸧࡜ࡁࢃࡵ࡚኱ࡁࡃ㸪௬࡟ᡤᚓ௦᭰⋡ 50㸣ࢆ⥔ᣢࡍࡿࡓࡵ࡟࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻࢆ 2023 ᖺᗘ࡛⤊஢ࡋࡓ࡜ࡍࡿ࡜㸪ࡇࡢẁ㝵࡛✚❧㔠ࡀ࡯࡜ࢇ࡝ᯤῬࡋ࡚ࡋࡲ࠺
ࡇ࡜ࡶ㸪ᴟࡵ࡚ప࠸☜⋡࡜ࡣ࠸࠼㸪㉳ࡇࡾ࠺ࡿࡇ࡜ࢆ♧ࡋ࡚࠸ࡿ㸬ࡇࡢ✀ࡢࣜࢫࢡࢆ᭱ᑠ㝈࡟ᢚ࠼ࡿࡼ࠺࡞ᇶᮏ࣏࣮
ࢺࣇ࢛ࣜ࢜ࢆᵓ⠏ࡍࡿࡇ࡜ࡣ㸪බⓗᖺ㔠㐠⏝࡟࡜ࡗ࡚ᴟࡵ࡚㔜せ࡛࠶ࡿ㸬ᅗ 2 ✚❧㔠㸦ྡ┠㢠㸧ࡢ☜⋡ศᕸࡢᑗ᮶ぢ㏻ࡋ ⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢሙྜࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࡢᑗ᮶ぢ㏻ࡋ ๓⠇ 2.3 ࡛ࡳࡓࡼ࠺࡟㸪බⓗᖺ㔠ࡢ㈈ᨻ≧ἣࢆホ౯ࡍࡿࡓࡵ࡟ࡣ㸪㈤㔠ࢫࣛ࢖ࢻ࡞࡝ࡀ࠶ࡿࡇ࡜࠿ࡽ㸪ྡ┠㢠ࡢ✚❧㔠ࡼࡾࡶᐇ㉁ⓗ࡞✚❧㔠ࢆホ౯ࡍࡿ᪉ࡀࡼࡾᮃࡲࡋ࠸㸬ࡑࡢࡓࡵ㸪⌧⾜ࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ⥔ᣢࡋࡓሙྜ࡟࠾ࡅࡿ
ཌ⏕ᖺ㔠ࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࡢᑗ᮶ぢ㏻ࡋࢆࡳࡓࡶࡢࡀᅗ 3 ࡛࠶ࡿ㸬㈈ᨻ෌ィ⟬࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ᑗ

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日本保険・年金リスク学会誌 Vol.6 No.1 2014᮶ぢ㏻ࡋࡣ㸪2010 ᖺᗘᮎ࠿ࡽ 2035 ᖺᗘᮎࡲ࡛ 5 ᖺࡈ࡜࡟㸪145.3 ඙෇㸪137.3 ඙෇㸪141.8 ඙෇㸪153.1 ඙෇㸪164.9 ඙෇㸪170.6 ඙෇࡛࠶ࡾ㸪⤖ᯝⓗ࡟㸪☜⋡ศᕸࡢࣆ࣮ࢡࡢ㒊ศ࡜࡯ࡰ୍⮴ࡋ࡚࠸ࡿ㸬ࡋ࠿ࡋ࡞ࡀࡽ㸪ศᕸࡢᙧ≧࡟ࡘ࠸࡚㸪ᖺḟࢆ㏣ࡗ࡚ࡳࡿ࡜ᚎࠎ࡟ᖹࡓࡃ࡞ࡗ࡚࠸ࡃ㸬ࡓ࡜࠼ࡤ㸪2035 ᖺᗘᮎࡢᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࡣ㸪ᮇᚅ್ 170.6
඙෇࡟ᑐࡋ࡚㸪ᶆ‽೫ᕪࡣ 55.7 ඙෇㸦ኚືಀᩘ 32.6㸣㸧࡜㸪ྡ┠㢠ࡢ✚❧㔠ྠᵝ㸪ࡁࢃࡵ࡚኱ࡁ࡞್࡜࡞ࡗ࡚࠸ࡿ㸬 ḟ⠇࡛ࡣ㸪ࡇࡢᐇ㉁ⓗ࡞✚❧㔠㸦࠶ࡿ࠸ࡣබⓗᖺ㔠ไᗘ㸧ࡀ᭷ࡍࡿࣜࢫࢡ࡟ࡘ࠸࡚㸪ᶆ‽೫ᕪ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ
☜⋡㸪ୗ᪉㒊ศ✚⋡ࡢ 3 ࡘࡢほⅬ࠿ࡽ㸪⌧⾜ࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆホ౯ࡍࡿࡇ࡜ࢆヨࡳࡿ㸬࡞࠾㸪ࡑࡢ㝿㸪㧗㏿ィ⟬ࡀྍ⬟࡞ࣔࢹࣝࡢ≉ᚩࢆ⏕࠿ࡋ㸪ఏ⤫ⓗ࡞ 4 ㈨⏘ࡢࡍ࡭࡚ࡢ⤌ࡳྜࢃࡏ࡜⌧⾜࣏࣮ࢺࣇ࢛ࣜ࢜ࡢẚ㍑ࢆヨࡳࡿ㸬ᅗ 3 ᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࡢᑗ᮶ぢ㏻ࡋ ᐇ㉁ⓗ࡞✚❧㔠ࡼࡾ⟬ฟࡉࢀࡿࣜࢫࢡᣦᶆࢆ⏝࠸ࡓᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢホ౯ ᶆ‽೫ᕪࢆࣜࢫࢡ࡜ࡋࡓሙྜ

 2035 ᖺᗘᮎࡢᐇ㉁ⓗ࡞✚❧㔠ࡢᶆ‽೫ᕪࢆࣜࢫࢡ࡜ࡋ࡚㸪ྛ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥࢆࣉࣟࢵࢺࡋࡓࡶ
ࡢࡀᅗ 4 ࡛࠶ࡿ㸬ࡇࡇ࡛㸪⃰࠸‫ە‬༳ࡢࣉࣟࢵࢺࡣ㸪ᅗ 1 ࡟࠾ࡅࡿ᭷ຠࣇࣟࣥࢸ࢕࢔ୖࡢ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ࡘ࠸࡚㸪ࡑࢀࡽࡢᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್࡜✚❧㔠ࡢᶆ‽೫ᕪࢆィ⟬ࡋ࡚ᅗ 4 ୖ࡟ࣉࣟࢵࢺࡋࡓࡶࡢ࡛࠶ࡿ㸬༳ࡢࣉࣟࢵࢺ
ࡣ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ࡘ࠸࡚ྠᵝ࡟ࣉࣟࢵࢺࡋࡓࡶࡢ࡛࠶ࡿ㸬ᐇ㉁ⓗ࡞✚❧㔠ࢆࣜࢫࢡࡢᣦᶆ࡜ࡋࡓሙྜ
ࡢ᭷ຠࣇࣟࣥࢸ࢕࢔࡜࡯ࡰྠࡌ࡛࠶ࡾ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ᭷ຠࣇࣟࣥࢸ࢕࢔ୖ࡟࡯ࡰ఩⨨ࡋ࡚࠸ࡿ㸬

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ᅗ 4 ᶆ‽೫ᕪࢆࣜࢫࢡ࡜ࡋࡓሙྜࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥ

 ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜ

2035 ᖺᗘᮎࡢᐇ㉁ⓗ࡞✚❧㔠ࡢࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆࣜࢫࢡ࡜ࡋ࡚㸪ྛ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥࢆࣉ
ࣟࢵࢺࡋࡓࡶࡢࡀᅗ 5 ࡛࠶ࡿ㸬⃰࠸‫ە‬༳ࡢࣉࣟࢵࢺཬࡧ༳ࡢࣉࣟࢵࢺࡣ㸪ࡑࢀࡒࢀ㸪ᅗ 1 ࡟࠾ࡅࡿ᭷ຠࣇࣟࣥࢸ
࢕࢔ୖࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ཬࡧ⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ࡘ࠸࡚㸪ࡑࢀࡽࡢᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್࡜ࢩ࣮ࣙࢺࣇ࢛
࣮ࣝ☜⋡ࢆィ⟬ࡋ࡚ᅗ 5 ୖ࡟ࣉࣟࢵࢺࡋࡓࡶࡢ࡛࠶ࡿ㸬ᅗ 1 ࡛≉ᐃࡋࡓ᭷ຠࣇࣟࣥࢸ࢕࢔ୖࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜࡢ᭷ຠࣇࣟࣥࢸ࢕࢔ࡼࡾࡶෆഃ࡟఩⨨ࡋ࡚࠸ࡿ㸬ࡲࡓ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺ
ࣇ࢛ࣜ࢜ࡣ᭷ຠࣇࣟࣥࢸ࢕࢔࠿ࡽ஋㞳ࡋ࡚࠾ࡾ㸪ࡇࡢほⅬ࠿ࡽࡣຠ⋡ⓗ࡞࣏࣮ࢺࣇ࢛ࣜ࢜࡜ࡣゝ࠼࡞࠸㸬୍⯡࡟㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜ㸪ࢱ࢖࣒࣍ࣛ࢖ࢬࣥࡀ㛗ࡃ࡞ࡿ࡜㸪ᮇᚅ཰┈⋡ࡢ㧗࠸᪉ࡀඃ఩
࡞⤖ᯝ࡟࡞ࡿഴྥࡀ࠶ࡿ㸬ᐇ㝿㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜࡜ྠ➼࡞ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡㸦46.1㸣㸧ࢆᐇ⌧ࡋ㸪᭱ࡶᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡀ㧗ࡃ࡞ࡿ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪ᅜෆᰴᘧ㸦23㸣㸧࡜እᅜᰴᘧ㸦72㸣㸧ࡢࡳ࡟ࡼࡾᵓᡂࡉࢀ
ࡿ࣏࣮ࢺࣇ࢛ࣜ࢜22࡛࠶ࡾ㸪ࡑࡢሙྜࡢᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡣ 260.3 ඙෇࡛࠶ࡾ㸪⌧⾜࣏࣮ࢺࣇ࢛ࣜ࢜ࡢᮇᚅ್࡛
࠶ࡿ 181.6 ඙෇ࢆ኱ࡁࡃୖᅇࡗ࡚࠸ࡿ㸬 ࡲࡓ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡀ᭱ࡶᑠࡉࡃ࡞ࡿ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪ᅜෆമๆ㸦35㸣㸧
㸪ᅜෆᰴᘧ㸦21㸣㸧
㸪እᅜമๆ
㸦15㸣㸧
㸪እᅜᰴᘧ㸦24㸣㸧࡛࠶ࡾ㸪ࡑࡢሙྜࡢࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡣ 40.6㸣㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡣ 207.7 ඙෇࡛࠶ࡾ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡀ 5.5㸣పୗࡍࡿ࡜࡜ࡶ࡟㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡶ 26.1 ඙෇ୖ᪼ࡍࡿ㸬221㸣้ࡳ࡛࣏࣮ࢺࣇ࢛ࣜ࢜ࢆᵓᡂࡋ࡚࠸ࡿࡇ࡜࠿ࡽ㸪ᚲࡎࡋࡶ᭱኱್࡛ࡣ࡞࠸ࡀ㸪ࢢࣛࣇࡢᙧ≧࠿ࡽࡳ࡚࡯ࡰ᭱኱࡛࠶ࡿ㸬࡞࠾㸪▷ᮇ㈨⏘ࡢࢩ࢙࢔ࡣ 5㸣࡜ࡋ࡚࠸ࡿ㸬

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日本保険・年金リスク学会誌 Vol.6 No.1 2014

ᅗ 5 ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥ

 ୗ᪉㒊ศ✚⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜ

2035 ᖺᗘᮎࡢᐇ㉁ⓗ࡞✚❧㔠ࡢୗ᪉㒊ศ✚⋡ࢆࣜࢫࢡ࡜ࡋ࡚㸪ྛ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥࢆࣉࣟࢵࢺࡋ
ࡓࡶࡢࡀᅗ 6 ࡛࠶ࡿ㸬⃰࠸‫ە‬༳ࡢࣉࣟࢵࢺཬࡧ༳ࡢࣉࣟࢵࢺࡣ㸪ᅗ 5 ࡜ྠᵝ࡟㸪ᅗ 1 ࡟࠾ࡅࡿ᭷ຠࣇࣟࣥࢸ࢕࢔
ୖࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ཬࡧ⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜࡟ࡘ࠸࡚㸪ࡑࢀࡽࡢᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್࡜ୗ᪉㒊ศ✚⋡ࢆィ⟬ࡋ࡚ᅗ 6 ୖ࡟ࣉࣟࢵࢺࡋࡓࡶࡢ࡛࠶ࡿ㸬ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜ࡯࡝࡛ࡣ࡞࠸ࡀ㸪཰┈⋡ࡢᶆ‽೫ᕪࢆࣜࢫࢡ࡜ࡋࡓሙྜࡢ᭷ຠࣇࣟࣥࢸ࢕࢔ࡣ㸪ୗ᪉㒊ศ✚⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜࡼࡾࡶෆഃ࡟఩⨨ࡋ࡚࠸ࡿ㸬ࡲࡓ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ᭷ຠࣇࣟࣥࢸ࢕࢔࠿ࡽ஋㞳ࡋ࡚࠾ࡾ㸪ࡇࡢほⅬ࠿ࡽࡣຠ⋡ⓗ࡞࣏࣮ࢺࣇ࢛ࣜ࢜࡜ࡣゝ࠼࡞࠸㸬⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜࡜ྠ➼࡞ୗ᪉㒊ศ✚⋡㸦16.29 ඙෇㸧ࢆᐇ⌧ࡋ㸪᭱ࡶᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡀ㧗ࡃ࡞ࡿ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪ᅜෆമๆ㸦50㸣㸧㸪ᅜෆᰴᘧ㸦14㸣㸧㸪እᅜമๆ㸦16㸣㸧㸪እᅜᰴᘧ㸦15㸣㸧࡛࠶ࡾ㸪ᅜෆമๆࡢẚ⋡ࢆ 5 ๭⛬ᗘࡲ࡛ᘬୗࡆ㸪ࡑࡢศ㸪እᅜമๆ࡜እᅜᰴᘧࡢẚ⋡ࢆୖ᪼ࡉࡏࡓ࣏࣮ࢺࣇ࢛࡛ࣜ࢜࠶ࡿ㸬ࡇࡢ࣏࣮ࢺࣇ࢛
ࣜ࢜࡟ࡼࡿᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡣ192.0 ඙෇࡛࠶ࡾ㸪⌧⾜ࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ10 ඙෇ᙉୖᅇࡿࡶࡢ࡜ぢ㎸ࡲࢀࡿ㸬 ࡞࠾㸪ୗ᪉㒊ศ✚⋡ࢆ᭱ᑠ࡜ࡍࡿ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ㸪ᅜෆമๆ 60㸣㸪ᅜෆᰴᘧ 9㸣㸪እᅜമๆ 16㸣㸪እᅜᰴᘧ 10㸣㸪▷ᮇ㈨⏘ 5㸣࡛࠶ࡾ㸪ࡑࡢሙྜࡢୗ᪉㒊ศ✚⋡ࡣ 15.62 ඙෇㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡣ 182.8 ඙෇࡛࠶ࡾ㸪ୗ᪉㒊ศ✚⋡ࡀ 0.67 ඙෇పୗࡍࡿ࡜࡜ࡶ࡟㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᮇᚅ್ࡶ 1.2 ඙෇ୖ᪼ࡍࡿ㸬―15―

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ᅗ 6 ୗ᪉㒊ศ✚⋡ࢆࣜࢫࢡ࡜ࡋࡓሙྜࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥ ⤖ᯝࡢࡲ࡜ࡵ࡜࢖ࣥࣉࣜࢣ࣮ࢩࣙࣥ ᮏ✏࡛ࡣ㸪᪂ࡓ࡟㛤Ⓨࡋࡓ☜⋡ⓗබⓗᖺ㔠㈈ᨻࣔࢹࣝࢆ⏝࠸࡚㸪බⓗᖺ㔠ࡢ࠸ࡃࡘ࠿ࡢࣜࢫࢡᣦᶆࢆ⪃៖ࡋ࡚㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᳨ドࢆヨࡳࡓ㸬 2035 ᖺᗘࡢᐇ㉁ⓗ࡞✚❧㔠ࢆᇶ‽࡜ࡋ࡚㸪බⓗᖺ㔠㈈ᨻ࡟㛵ࡍࡿࣜࢫࢡ࡜ࣜࢱ࣮ࣥࢆ⪃ᐹࡋࡓሙྜ㸪ࣜࢫࢡࡢᤊ
࠼᪉࡟ࡼࡗ࡚ࡣ㸪࢔ࢭࢵࢺࢧ࢖ࢻࡢࡳࢆ⪃៖ࡋ࡚㑅ᢥࡋࡓ⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣᚲࡎࡋࡶຠ⋡ⓗ࡛ࡣ࡞࠸ྍ
⬟ᛶࡀ࠶ࡿࡇ࡜ࡀࢃ࠿ࡗࡓ㸬ࡍ࡞ࢃࡕ㸪ᐇ㉁ⓗ࡞✚❧㔠ࡢᶆ‽೫ᕪࢆࣜࢫࢡ࡜⪃࠼ࡿ࡜㸪ࡑࡢࣜࢫࢡ࣭ࣜࢱ࣮ࣥᵓ
㐀ࡣ㸪࢔ࢭࢵࢺࢧ࢖ࢻࡢࡳࢆ⪃࠼ࡿሙྜ࡜࡯ࡰྠࡌ࡛࠶ࡿࡀ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࡸୗ᪉㒊ศ✚⋡ࢆࣜࢫࢡ࡜⪃࠼ࡿ࡜ࡑࡢ᭷ຠࣇࣟࣥࢸ࢕࢔ࡣ㸪࢔ࢭࢵࢺࢧ࢖ࢻࡢࡳࢆ⪃៖ࡋࡓሙྜࡢ᭷ຠࣇࣟࣥࢸ࢕࢔ࡢ୍㒊ࡢࡳ࡛࠶ࡿࡇ࡜ࡀ
᫂ࡽ࠿࡟࡞ࡗࡓ㸬ࡑࡢሙྜ㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡣ᭷ຠࣇࣟࣥࢸ࢕࢔࠿ࡽ஋㞳ࡋࡓ఩⨨࡟࠶ࡿ㸬ࡇࡢࡼ࠺࡟㸪බⓗᖺ㔠ࡢࣜࢫࢡࡢᤊ࠼᪉࡟ࡼࡗ࡚ࡣ㸪ࠕຠ⋡ⓗ࣏࣮ࠖࢺࣇ࢛ࣜ࢜ࡀ␗࡞ࡗࡓࡶࡢ࡜࡞ࡿࡇ࡜࡟␃ពࡀᚲせ࡛࠶ࡿ㸬 ࡋࡓࡀࡗ࡚㸪බⓗᖺ㔠✚❧㔠ࡢ⟶⌮㐠⏝ࢆ⾜࠺ࡓࡵࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ㑅ᢥࡍࡿ࡟࠶ࡓࡗ࡚ࡣ㸪ఱࢆබⓗᖺ㔠ࡢࣜࢫࢡ࡜⪃࠼ࡿ࠿ࡀ㔜せ࡞࣏࢖ࣥࢺ࡜࡞ࡿ㸬⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢࡼ࠺࡟㸪ࠕᅜෆമๆ࡛඲㢠㐠⏝ࡍࡿሙྜ࡜ྠ⛬ᗘࡢ཰┈⋡ኚືᖜࡢࣜࢫࢡࢆ࡜ࡾࡘࡘ㸪ᅜෆമๆࡢᮇᚅ཰┈⋡ࢆ୍ᐃ⛬ᗘୖᅇࡿᮇᚅ཰┈⋡ࢆᚓࡿࠖࡇ
࡜ࢆ┠ᶆ࡜ࡍࡿࡇ࡜ࡶ୍ἲ࡛࠶ࡿࡀ㸪බⓗᖺ㔠≉᭷ࡢ௙⤌ࡳ㸪ࡍ࡞ࢃࡕ≀౯ࢫࣛ࢖ࢻࡸྍฎศᡤᚓࢫࣛ࢖ࢻ࡞࡝ࢆ
⪃៖ࡋࡓᐇ㉁ⓗ࡞✚❧Ỉ‽࡟╔┠ࡋࡓࣜࢫࢡ┠ᶆ࡟ᇶ࡙࠸࡚ᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ㑅ᢥࢆ⾜࠺ࡇ࡜ࡶ࠶ࡾᚓࡿ࡛
࠶ࢁ࠺㸬බⓗᖺ㔠ࡢࣜࢫࢡ࡜ࡣఱ࠿࡜࠸࠺᭦࡞ࡿ㆟ㄽࡀᮃࡲࢀࡿ㸬 ࡑࡢཧ⪃࡜ࡋ࡚㸪ᅗ 7 ࡟㸪⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜㸦ᅜෆമๆ 67㸣㸪ᅜෆᰴᘧ 11㸣㸪እᅜമๆ 8㸣㸪እᅜᰴᘧ
9㸣㸪▷ᮇ㈨⏘ 5㸣㸧㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆ᭱ࡶᑠࡉࡃࡍࡿ࣏࣮ࢺࣇ࢛ࣜ࢜㸦35㸣㸫21㸣㸫15㸣㸫24㸣㸫5㸣㸧ཬࡧୗ᪉㒊ศ✚⋡ࢆ᭱ࡶᑠࡉࡃࡍࡿ࣏࣮ࢺࣇ࢛ࣜ࢜㸦60㸣㸫9㸣㸫16㸣㸫10㸣㸫5㸣㸧ࢆ㐺⏝ࡋࡓ㝿ࡢ 2035 ᖺᗘᮎ࡟―16―

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日本保険・年金リスク学会誌 Vol.6 No.1 2014

࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࢆ♧ࡋࡓ㸬⌧⾜ࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜࡜ୗ᪉㒊ศ✚⋡ࢆ᭱ࡶᑠࡉࡃࡍࡿ࣏࣮ࢺࣇ
࢛ࣜ࢜ࡢ㛫࡛ࡣ㸪☜⋡ศᕸࡢᙧ≧࡟኱ࡁ࡞ᕪ23ࡣぢࡽࢀ࡞࠸㸬ࡋࡓࡀࡗ࡚㸪ୗ᪉㒊ศ✚⋡ࢆ࣏࣮ࢺࣇ࢛ࣜ࢜㑅ᢥࡢ୍ࡘࡢᣦᶆ࡜ࡍࡿࡇ࡜ࡣ༑ศ࡟ព⩏ࡀ࠶ࢁ࠺㸬ࡋ࠿ࡋ࡞ࡀࡽ㸪ࢩ࣮ࣙࢺࣇ࢛࣮ࣝ☜⋡ࢆ᭱ࡶᑠࡉࡃࡍࡿ࣏࣮ࢺࣇ࢛
ࣜ࢜ࢆ㑅ᢥࡋࡓሙྜ࡟ࡣ㸪☜࠿࡟ᖺ㔠ไᗘᨵṇࢆ㏕ࡽࢀࡿ☜⋡ࡣ᭱ࡶᑠࡉ࠸ࡀ㸪2035 ᖺᗘ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢࡤࡽࡘࡁࡀᴟࡵ࡚኱ࡁ࠸㸬ࡍ࡞ࢃࡕ㸪ࡇࢀࡣ㸪ᖺ㔠ไᗘᨵṇࡀᚲせ࡜࡞ࡗࡓሙྜ࡟ᅜẸࡀཷࡅࡿࢲ࣓࣮ࢪࡀᴟࡵ
࡚኱ࡁ࠸ࡇ࡜ࢆព࿡ࡋ࡚࠾ࡾ㸪࣏࣮ࢺࣇ࢛ࣜ࢜㑅ᢥࡢᣦᶆ࡜ࡋ࡚ࡣᮃࡲࡋ࠸ࡶࡢ࡜ࡣ⪃࠼ࡽࢀ࡞࠸㸬ࡲࡓ㸪࠸ࡎࢀࡢ࣏࣮ࢺࣇ࢛ࣜ࢜ࢆ᥇⏝ࡋࡓ࡜ࡋ࡚ࡶ㸪50㸣㏆࠸☜⋡࡛ᖺ㔠ไᗘᨵṇࢆ㏕ࡽࢀࡿࡇ࡜࡟ࡘ࠸࡚㸪༑ศ࡟␃ពࡍ࡭ࡁ࡛࠶ࢁ࠺㸬ᅗ 7 2035 ᖺᗘ࡟࠾ࡅࡿᐇ㉁ⓗ࡞✚❧㔠ࡢ☜⋡ศᕸࡢẚ㍑

 ᖹᡂ 21 ᖺ 2 ᭶࡟ࡣබⓗᖺ㔠ࡢ㈈ᨻ᳨ド⤖ᯝࡀබ⾲ࡉࢀࡓࡀ㸪௒ᅇࡣ GPIF ࡟ᑐࡋ࡚᫂☜࡞㐠⏝┠ᶆࡀ♧ࡉࢀࡿࡇ࡜ࡣ࡞ࡃ㸪ࠕᏳ඲㸪ຠ⋡ⓗ࠿ࡘ☜ᐇࠖ࡜࠸࠺ᢳ㇟ⓗ࡞┠ᶆᥦ♧࡟Ṇࡲࡗࡓ㸬ࡑࡢ⤖ᯝ㸪ᬻᐃⓗ࡟㸪ᚑ๓ࡢᇶᮏ࣏࣮
ࢺࣇ࢛ࣜ࢜࡟ᇶ࡙࠸࡚ᖺ㔠✚❧㔠ࡢ㐠⏝ࡀ⾜ࢃࢀࡿࡇ࡜࡜࡞ࡗࡓࡀ㸪᪩ᮇ࡟බⓗᖺ㔠ࡢࣜࢫࢡ࡜ࡣఱ࠿࡜࠸࠺ࡇ࡜
ࡀ᫂☜࡟ᩚ⌮ࡉࢀ㸪ࡑࢀ࡟ᇶ࡙࠸࡚✚❧㔠㐠⏝ࡢ᪉㔪ࡀ❧᱌ࡉࢀࡿ࡭ࡁ࡛࠶ࡿ㸬බⓗᖺ㔠⮬యࡢᨵ㠉᱌ࡀ⌧ᅾ㆟ㄽࡉࢀ࡚࠸ࡿࡀ㸪ᡃࡀᅜࡣࡍ࡛࡟ேཱྀῶᑡ㐣⛬࡟ධࡾ㸪࠿ࡘ࡚ࡢࡼ࠺࡞⤒῭ᡂ㛗ࡶᮃࡵ࡞࠸≧ἣ࡟࠶ࡿ㸬ࡇࡢࡼ࠺࡞
♫఍࡛ࡣ㸪100 ඙෇ࢆ㉸࠼ࡿ✚❧㔠ࡢຠ⋡ⓗ࡞㐠⏝ࡣ㸪ఱࡼࡾࡶ㔜せ࡞ㄢ㢟࡛࠶ࡾ㸪බⓗᖺ㔠ࡢࣜࢫࢡࢆ㋃ࡲ࠼ࡓ
ຠ⋡ⓗ࡞㐠⏝ࡀᐇ⌧ࡉࢀࡿ௙⤌ࡳࡀᵓ⠏ࡉࢀࡿࡇ࡜ࡀᮃࡲࢀࡿ㸬

23ᅗ࡛ࡣࢃ࠿ࡾ࡟ࡃ࠸ࡀ㸪3.2.3 ࡛㏙࡭ࡓࡼ࠺࡟㸪ୗ᪉㒊ศ✚⋡ࢆ᭱ᑠ໬ࡍࡿ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᪉ࡀᮇᚅ್࡛ࡣ 1.2 ඙෇኱ࡁ࠸㸬―17―

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ㅰ㎡
 ᮏ✏ࡣ㸪㈈ᅋἲேᖺ㔠ࢩࢽ࢔ࣉࣛࣥ⥲ྜ◊✲ᶵᵓ࡟タ⨨ࡉࢀࡓࠕබⓗᖺ㔠㈈ᨻ࣭㐠⏝ࣔࢹࣝ㛤Ⓨ࡟㛵ࡍࡿ◊✲఍ࠖ࡟࠾ࡅࡿ୰㛫ሗ࿌᭩ࡢ➨ 4 ❶ࠕබⓗᖺ㔠㈈ᨻィ⟬ࣔࢹࣝࠖཬࡧ➨ 5 ❶ࠕࣉࣟࢺࢱ࢖ࣉࣔࢹࣝࡢᶵ⬟᳨ド―බⓗᖺ㔠✚❧㔠㐠⏝ࡢࡓࡵࡢᇶᮏ࣏࣮ࢺࣇ࢛ࣜ࢜ࡢ᳨ドࠖࢆຍ➹ಟṇࡋ㸪ྠᶵᵓࡢチྍࢆᚓ࡚බ⾲ࡍࡿࡶࡢ࡛࠶ࡿ㸬 ᮏ✏ࡢసᡂ࡟ᙜࡓࡾ㸪◊✲఍ࡢ⡿⃝ᗣ༤ᗙ㛗ࡢ࡯࠿㸪ᑠ㔝ṇ᫛㸪ຍ⸨ஂ࿴㸪໭ᮧᬛ⣖㸪ᐑ஭༤㸪ᒣ⏣ᬛ᫂ࡢྛጤ
ဨ㸪஦ົᒁࡢ➟ᓥஂྖ㸪ᩪ⸨༤ྐ㸪ୖᓮ຾ᕫࡢྛẶ㸪ࡲࡓ㸪ྠᶵᵓࡢ⚟ᒣᆂ୍ᑓົ⌮஦࠿ࡽ㈗㔜࡞ࡈຓゝࢆ࠸ࡓࡔ࠸ࡓ㸬ࡉࡽ࡟㸪ᰝㄞ࠸ࡓࡔ࠸ࡓඛ⏕᪉࡟ࡣ㸪ࡈከᛁࡢ࡜ࡇࢁ㸪ᮏ✏ࡢᨵゞࡢࡓࡵࡢ㈗㔜࡞ࢥ࣓ࣥࢺࢆᩘከࡃ࠸ࡓࡔ
࠸ࡓ㸬ࡇࡇ࡟㸪῝ࡃឤㅰ⏦ࡋୖࡆࡓ࠸㸬࡞࠾㸪ṧࡉࢀࡓㄗࡾࡣࡍ࡭࡚➹⪅࡟ᖐࡍࡿࡶࡢ࡛࠶ࡿ㸬ཧ⪃ᩥ⊩໭ᮧᬛ⣖㸦2008㸧,ࠕ᪂ேཱྀ᥎ィୗ࡟࠾ࡅࡿබⓗᖺ㔠㈈ᨻࡢᣢ⥆ྍ⬟ᛶ࡟ࡘ࠸࡚ࠖ
ࠗࣜࢫࢡ࡜ಖ㝤࠘᪥ᮏಖ㝤࣭ᖺ㔠ࣜࢫࢡᏛ఍࣭᪥ᮏ࢔ࢡࢳࣗ࢔࣮ࣜ఍, 4, 41-59.
໭ᮧᬛ⣖࣭୰ᔱ㑥ኵ࣭⮻ᯂᨻ἞㸦2006㸧,ࠕ࣐ࢡࣟ⤒῭ࢫࣛ࢖ࢻୗ࡟࠾ࡅࡿ✚❧㔠㐠⏝࡛ࡢࣜࢫࢡࠖࠗ⤒῭ศᯒ࠘ෆ㛶ᗓ⤒῭♫఍⥲ྜ◊✲ᡤ, 178, 23-52.
ཌ⏕ປാ┬㸦2005㸧,ࠗཌ⏕ᖺ㔠࣭ᅜẸᖺ㔠ᖹᡂ 16 ᖺ㈈ᨻ෌ィ⟬⤖ᯝ࠘ཌ⏕ປാ┬ᖺ㔠ᒁᩘ⌮ㄢ.
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日本保険・年金リスク学会誌 Vol.6 No.1 2014

Evaluation of Basic Portfolio using an ALM Model for
Public Pension Scheme in Japan
Seiichi Inagaki* and Tokihiko Shimizu͊
Received 24 May 2010, Accepted 11 October 2012
Abstract:
The public pension scheme in Japan is a modified pay-as-you-go system witha certain level of reserve fund. It incorporates the benefit indexation systemalong with an increase in CPI or wages, and the “macroeconomic slide
system” that limits the indexation to stabilize pension finances. The public
pension scheme has a much more complicated risk structure than that ofprivate pension plans. In addition, the reserve fund is significantly large.
Hence, applying an ALM model is very important for analyzing its basic
portfolio. As its risk structure is very complicated, a specially developed ALM
model must be applied to analyze the public pension scheme. In this paper,
we develop an ALM model that measures the probability distribution of
future “real” values of the reserve fund and simulate them assuming about
150,000 portfolios with a combination of four traditional asset classes. Thereis no unique optimum portfolio for the reserve fund of the public pension
scheme and it differs significantly according to the definition of “risk.”
Keyword: Public pension, Stochastic simulation, Macroeconomic slide system,
Basic portfolio, Real value of reserve fund

* Institute of Economic Research, Hitotsubashi University; E-mail:inagaki@ier.hit-u.ac.jp† Government Pension Investment Fund; E-mail: t-shimizu@gpif.go.jp―19―

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