Optimal intertemporal risk allocation with applications to finance and insurance
| Project/Area Number |
20340015
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Hiroshima University (2009-2011)
Hokkaido University (2008) |
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Principal Investigator |
INOUE Akihiko 広島大学, 大学院・理学研究科, 教授 (50168431)
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| 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)
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| Project Period (FY) |
2008 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| 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)
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| 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 |
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| 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.
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Report
(6 results)
Research Products
(38 results)
