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Optimal intertemporal risk allocation with applications to finance and insurance

Research Project

Project/Area Number 20340015
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionHiroshima University (2009-2011)
Hokkaido University (2008)

Principal Investigator

INOUE Akihiko  広島大学, 大学院・理学研究科, 教授 (50168431)

Co-Investigator(Kenkyū-buntansha) IWATA Koichiro  広島大学, 大学院・理学研究科, 准教授 (20241292)
KASAHARA Yukio  北海道大学, 大学院・理学研究院, 非常勤講師 (10399793)
Project Period (FY) 2008 – 2011
Project Status Completed (Fiscal Year 2011)
Budget Amount *help
¥14,560,000 (Direct Cost: ¥11,200,000、Indirect Cost: ¥3,360,000)
Fiscal Year 2011: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2010: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2009: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2008: ¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Keywords確率論 / 確率過程 / 記憶 / 予測理論 / 数理ファイナンス / リスク / 予測理論的手法 / 有限予測係数 / 相係数 / 多次元定常過程 / 多次元化 / 漸近挙動 / Verblunsky係数 / フィルタリング / 非マルコフ型市場モデル / ファイナンス / 保険 / 最適異時点間リスク配分 / 指数効用 / 保険料計算原理 / 動的リスク測度 / 時間に関する一貫性 / 均衡価格 / 双対問題
Research Abstract

Inoue, Nakano and Fukuda obtained various results on the intertemporal risk allocation. In the case of exponential utility, they found that the premium principle thus obtained becomes time-consistent when viewed as a dynamic risk measure. Inoue introduced the equilibrium for the intertemporal risk allocation, and extended the Buhlmann and Esscher principles to this case. Inoue and Kasahara extended the prediction-theoretic method for the analysis of dynamic dependence structure, which had been developed only in the one-dimensional case, to the multivariate case. More precisely, they took the fundamental case of discrete-time processes, and extended various results in the one-dimensional case to the multivariate case.

Report

(6 results)
  • 2011 Annual Research Report   Final Research Report ( PDF )
  • 2010 Annual Research Report   Self-evaluation Report ( PDF )
  • 2009 Annual Research Report
  • 2008 Annual Research Report
  • Research Products

    (38 results)

All 2012 2011 2010 2009 2008 Other

All Journal Article (16 results) (of which Peer Reviewed: 14 results) Presentation (20 results) Remarks (2 results)

  • [Journal Article] Prediction of fractional processes with long-range dependence2012

    • Author(s)
      A. Inoue and V. Anh
    • Journal Title

      Hokkaido Mathematical Journal

      Volume: vo. 41

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] An explicit representation of Verblunsky coefficients2012

    • Author(s)
      N. H. Bingham, A. Inoue and Y. Kasahara
    • Journal Title

      Statistics & Probability Letters

      Volume: vol.82 Pages: 403-410

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] An Explicit Representation of Verblunsky Coefficients2012

    • Author(s)
      Bingham N. H., Inoue, A. and Kasahara, Y.
    • Journal Title

      Statistics & Probability Letters

      Volume: 82 Issue: 2 Pages: 403-410

    • DOI

      10.1016/j.spl.2011.11.004

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Buhlmannの価格原理の多期間への拡張2010

    • Author(s)
      井上昭彦
    • Journal Title

      数理解析研究所講究録

      Volume: 1675巻 Pages: 37-41

    • Related Report
      2011 Final Research Report
  • [Journal Article] Buhlmannの価格原理の多期間への拡張2010

    • Author(s)
      井上昭彦
    • Journal Title

      数理解析研究所講究録 1675巻

      Pages: 37-41

    • Related Report
      2010 Self-evaluation Report
  • [Journal Article] Buhlmann の価格原理の多期間への拡張2010

    • Author(s)
      井上昭彦
    • Journal Title

      数理解析研究所講究録 1675

      Pages: 37-41

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Duals of random vectors and processes with applications to prediction problems with missing values2009

    • Author(s)
      Y. Kasahara, M. Pourahmadi and A. Inoue
    • Journal Title

      Statistics & Probability Letters

      Volume: vol.79 Pages: 1637-1646

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Central limit theorem for constrained Poisson systems2009

    • Author(s)
      K. Iwata and T. Kolsrud
    • Journal Title

      Bulletin des Sciences Mathematiques

      Volume: vol.133 Pages: 658-669

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Duals of random vectors and processes with applications to prediction problems with missing values2009

    • Author(s)
      Y. Kasahara, M. Pourahmadi, A. Inoue
    • Journal Title

      Statistics & Probability Letters vol.79

      Pages: 1637-1646

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Central limit theorem for constrained Poisson systems2009

    • Author(s)
      K. Iwata, T. Kolsrud
    • Journal Title

      Bulletin des Sciences Mathematiques vol.133

      Pages: 658-669

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Duals of Random Vectors and Processes with Applications to Prediction Problems with Missing Values2009

    • Author(s)
      Kasahara, Y., Pourahmadi, M., Inoue, A.
    • Journal Title

      Statistics & Probability Letters 79

      Pages: 1637-1646

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Central limit theorem for constrained Poisson systems2009

    • Author(s)
      Iwata, K., Kolsrud, T.
    • Journal Title

      Bulletin des Sciences Mathematiques 133

      Pages: 658-669

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Baxter' s inequality for fractional Brownian motion-type processes with Hurstindex less than 1/ 22008

    • Author(s)
      A. Inoue, Y. Kasahara and P. Phartyal
    • Journal Title

      Statistics & Probability Letters

      Volume: vol.78 Pages: 2889-2894

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] AR and MA representation of partial autocorrelation functions, with applications2008

    • Author(s)
      A. Inoue
    • Journal Title

      Probability Theory and Related Fields

      Volume: vol.140 Pages: 523-551

    • NAID

      120000951579

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/22008

    • Author(s)
      A. Inoue, Y. Kasahara, P. Phartyal
    • Journal Title

      Statistics & Probability Letters vol.78

      Pages: 2889-2894

    • NAID

      120006459591

    • Related Report
      2010 Self-evaluation Report
    • Peer Reviewed
  • [Journal Article] Baxter' s Inequality for Fractional Brownian Motion-type Processes with Hurst Index less than 1 / 22008

    • Author(s)
      Inoue, A., Kasahara, Y. and Phartval, P.
    • Journal Title

      Statistics & Probability Letters 78

      Pages: 2889-2894

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Presentation] 予測理論における表現定理の多次元への拡張の応用2012

    • Author(s)
      井上昭彦・M. Pourahmadi・笠原雪夫
    • Organizer
      日本数学会2012年度年会
    • Place of Presentation
      東京理科大学
    • Year and Date
      2012-03-26
    • Related Report
      2011 Annual Research Report 2011 Final Research Report
  • [Presentation] 予測理論における表現定理の多次元への拡張2011

    • Author(s)
      井上昭彦
    • Organizer
      研究集会「直交多項式・特殊関数が関わる確率論的諸問題とその周辺」
    • Place of Presentation
      名古屋
    • Year and Date
      2011-12-23
    • Related Report
      2011 Final Research Report
  • [Presentation] 予測理論における表現定理の多次元への拡張2011

    • Author(s)
      井上昭彦
    • Organizer
      研究集会「直交多項式・特殊関数が関わる確率論的諸問題とその周辺」
    • Place of Presentation
      名城大学名駅サテライト(招待講演)
    • Year and Date
      2011-12-23
    • Related Report
      2011 Annual Research Report
  • [Presentation] 予測理論における表現定理の多次元への拡張2011

    • Author(s)
      井上昭彦・M. Pourahmadi・笠原雪夫
    • Organizer
      日本数学会2011年度秋季総合分科会
    • Place of Presentation
      信州大学
    • Year and Date
      2011-09-28
    • Related Report
      2011 Annual Research Report 2011 Final Research Report
  • [Presentation] ファイナンスと保険の数理2010

    • Author(s)
      井上昭彦
    • Organizer
      日本保険・年金リスク学会2010年度第3回研修会
    • Place of Presentation
      東京
    • Year and Date
      2010-12-22
    • Related Report
      2011 Final Research Report 2010 Self-evaluation Report
  • [Presentation] ファイナンスと保険の数理2010

    • Author(s)
      井上昭彦
    • Organizer
      日本保険・年金リスク学会2010年度第3回研修会
    • Place of Presentation
      朝日生命大手町オフィス
    • Year and Date
      2010-12-22
    • Related Report
      2010 Annual Research Report
  • [Presentation] Verblunsky係数とNehariの問題2010

    • Author(s)
      笠原雪夫
    • Organizer
      日本数学会年会
    • Place of Presentation
      横浜
    • Year and Date
      2010-03-24
    • Related Report
      2011 Final Research Report 2010 Self-evaluation Report
  • [Presentation] Verblunsky 係数と Nehari の問題2010

    • Author(s)
      笠原雪夫
    • Organizer
      日本数学会年会
    • Place of Presentation
      慶応義塾大学
    • Year and Date
      2010-03-24
    • Related Report
      2009 Annual Research Report
  • [Presentation] Buhlmann価格原理の多期間への拡張2009

    • Author(s)
      井上昭彦
    • Organizer
      数理解析研究所研究集会「ファイナンスの数理解析とその応用」
    • Place of Presentation
      京都
    • Year and Date
      2009-11-25
    • Related Report
      2011 Final Research Report
  • [Presentation] Buhlmannの価格原理の多期間への拡張2009

    • Author(s)
      井上昭彦
    • Organizer
      数理解析研究所研究集会「ファイナンスの数理解析とその応用」
    • Place of Presentation
      京都
    • Year and Date
      2009-11-25
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] Buhlmann の価格原理の多期間への拡張2009

    • Author(s)
      井上昭彦
    • Organizer
      数理解析研究所研究集会「ファイナンスの数理解析とその応用」
    • Place of Presentation
      京都大学
    • Year and Date
      2009-11-25
    • Related Report
      2009 Annual Research Report
  • [Presentation] OPUC associated with a rigid function(3)2009

    • Author(s)
      笠原雪夫
    • Organizer
      実解析学シンポジウム2009
    • Place of Presentation
      埼玉県坂戸市
    • Year and Date
      2009-10-25
    • Related Report
      2011 Final Research Report
  • [Presentation] OPUC associated with a rigid function (3)2009

    • Author(s)
      笠原雪夫
    • Organizer
      実解析学シンポジウム2009
    • Place of Presentation
      埼玉県坂戸市
    • Year and Date
      2009-10-25
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] OPUC associated with a rigid function (3)2009

    • Author(s)
      笠原雪夫
    • Organizer
      実解析学シンポジウム2009
    • Place of Presentation
      城西大学
    • Year and Date
      2009-10-25
    • Related Report
      2009 Annual Research Report
  • [Presentation] A multi-period extension of Buhlmann' s premium principle2009

    • Author(s)
      A. Inoue
    • Organizer
      Workshop on Mathematical Finance and Related Topics in Economics and Engineering
    • Place of Presentation
      京都
    • Year and Date
      2009-08-14
    • Related Report
      2011 Final Research Report
  • [Presentation] A multi-period extension of Buhlmann's premium principle2009

    • Author(s)
      A.Inoue
    • Organizer
      Workshop on Mathematical Finance and Related Topics in Economics and Engineering
    • Place of Presentation
      京都
    • Year and Date
      2009-08-14
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] A multi-period extension of Buhlmann's premium principle2009

    • Author(s)
      井上昭彦
    • Organizer
      Workshop on Mathematical Finance and Related Topics in Economics and Engineering
    • Place of Presentation
      関西セミナーハウス
    • Year and Date
      2009-08-14
    • Related Report
      2009 Annual Research Report
  • [Presentation] Dynamics of Indifference Prices Derived from Optimal Intertemporal Risk Allocations2009

    • Author(s)
      A. Inoue
    • Organizer
      Department of Statistics Colloquim Series
    • Place of Presentation
      Texas A & M University, U. S. A.
    • Year and Date
      2009-02-12
    • Related Report
      2011 Final Research Report
  • [Presentation] Dynamics of Indifference Prices Derived from Optimal Intertemporal Risk Allocations2009

    • Author(s)
      A.Inoue
    • Organizer
      Department of Statistics Colloquim Series
    • Place of Presentation
      Texas A & M University, U.S.A
    • Year and Date
      2009-02-12
    • Related Report
      2010 Self-evaluation Report
  • [Presentation] Dynamics of Indifference Prices Derived from Optimal Intertemporal Risk Allocations2009

    • Author(s)
      Inoue, A.
    • Organizer
      Department of Statistics Colloquim Series
    • Place of Presentation
      Texas A & M University, USA
    • Year and Date
      2009-02-12
    • Related Report
      2008 Annual Research Report
  • [Remarks]

    • URL

      http://home.hiroshima-u.ac.jp/inoue100/

    • Related Report
      2011 Final Research Report
  • [Remarks]

    • URL

      http://home.hiroshima-u.ac.jp/inoue100/

    • Related Report
      2011 Annual Research Report

URL: 

Published: 2008-04-01   Modified: 2016-04-21  

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