Research on statistical solvency estimates from ruin theory
| Project/Area Number |
15K05009
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Foundations of mathematics/Applied mathematics
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 保険数理 / 確率過程 / 統計推測 / リスク理論 / ジャンプ型確率過程 / 破産関連リスク評価 / 破産理論 / リスク管理 / 漸近理論 |
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| Outline of Final Research Achievements |
We constructed a risk measure based on the ruin probability and the Gerber-Shiu function, which is a generalization of the ruin probability, under the surplus model by stochastic differential equation with jumps. In particular, we considered “dynamic” risk measures in order to measure risks that varies in time with their mathematical justification. Next, we investigated a mortality prediction model for the purpose of including a mortality risk into our risk measure. We proposed a new methodology to improve the small area estimation of mortality by applying Credibility Theory. However the performance of the method is not satisfactory and we will leave it as a future work. Furthermore we investigated the statistical inference for the Gerber-Shiu function, which is necessary for application of risk measures in practice.
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Report
(4 results)
Research Products
(19 results)
