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Study of applied stochastic model for prepayment mortgage-backed securities

Research Project

Project/Area Number 21530318
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionKinjo Gakuin University

Principal Investigator

NAKAMURA Syouji  金城学院大学, 生活環境学部, 教授 (30350953)

Co-Investigator(Kenkyū-buntansha) NAKAGAWA Toshio  愛知工業大学, 経営学部, 教授 (60076544)
KONDO Hitoshi  南山大学, 経済学部, 教授 (60121456)
NAKAYAMA Keiko  中京大学, 経済学部, 教授 (90207944)
Project Period (FY) 2009 – 2011
Project Status Completed (Fiscal Year 2011)
Budget Amount *help
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywordsファイナンス / 確率過程 / 信頼性理論 / 住宅ローン / 期限前償還 / 確率モデル / 最適方策 / FSCM
Research Abstract

The Japan Housing Finance Agency gathers many home loans and issues mortgage-backed securities. When the debtor of the home loan exercises repayment before time limit, an unplanned operative fund occurs in the financial institution. In this study, we apply the cumulative damage model to the repayment occurrence process before time limit repayment of the debtor of the home loan and analysis by the stochastic process model that assumed repayment outbreak before time limit a function of the time. In particular, we computed the numerical example when the threshold level distribution function is a constant and a non-increasing. We published the books and journals on our research.

Report

(4 results)
  • 2011 Annual Research Report   Final Research Report ( PDF )
  • 2010 Annual Research Report
  • 2009 Annual Research Report
  • Research Products

    (53 results)

All 2011 2010 2009 Other

All Journal Article (22 results) (of which Peer Reviewed: 18 results) Presentation (25 results) Book (5 results) Remarks (1 results)

  • [Journal Article] Optimal Replacement Policies for Three Continuous Damage Models2011

    • Author(s)
      XUFENG ZHAO, CUNHA QIAN and SYOUJI NAKAMURA
    • Journal Title

      The 7th International Conference on mathematical methods in Reliability

      Pages: 188-194

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Two generation garbage collection models with major collection time2011

    • Author(s)
      Xufeng Zhao, Syouji Nakamura, Toshio Nakagawa
    • Journal Title

      IEICE Transactions Fundamentals

      Volume: Vol.E94-A, No.7 Pages: 1558-1566

    • NAID

      110008107026

    • Related Report
      2011 Annual Research Report 2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal major garbage collection interval with incremental garbage collection2011

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Journal Title

      17th ISSAT International Conference on Reliability and Quality in Design

      Pages: 195-199

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Replacement Policy for Continuous Damage Model and Its Application to Garbage Collection2011

    • Author(s)
      Xu-Feng ZHAO, Cun-Hua QIAN, Syouji NAKAMURA
    • Journal Title

      International Conference on Quality, Reliability, Risk, Maintenance, and Safety Engineering

      Volume: Vol.1 Pages: 412-416

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] インクリメンタルガーベジコレクション手法によるメージャーガーベジコレクションの最適方策2011

    • Author(s)
      中村正治, 趙旭峰, 中川覃夫
    • Journal Title

      IEICE

      Pages: 43-47

    • NAID

      110008800412

    • Related Report
      2011 Final Research Report
  • [Journal Article] Studies on Tenuring Collection Times for a Generational Garbage Collector2011

    • Author(s)
      Xu-Feng Zhao, Cun-Hua Qian, Syouji Nakamura
    • Journal Title

      Lecture Notes in Operations Research 14, Operations Research and Its Applications

      Pages: 284-291

    • Related Report
      2011 Annual Research Report 2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Cumulative Damage Models with Replacement Last2011

    • Author(s)
      Xufeng Zhao, Keiko Nakayama, Syouji Nakamura
    • Journal Title

      Communication in Computer and Information Science

      Pages: 338-345

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Replacement Policies for Three Continuous Damage Models2011

    • Author(s)
      XUFENG ZHAO, CUNHA QIAN, SYOUJI NAKAMURA
    • Journal Title

      The 7th International Conference on "mathematical methods in Reliability"

      Pages: 188-194

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal major garbage collection interval with incremental garbage collection2011

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Journal Title

      17^<th> ISSAT International Conference on Reliability and Quality in Design

      Pages: 195-199

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Replacement Policy for Continuous Damage Model and Its Application to Garbage Collection2011

    • Author(s)
      Xu-Feng ZHAO, Cun-Hua QIAN, Syouji NAKAMURA
    • Journal Title

      2011 International Conference on Quality, Reliability, Risk, Maintenance, and Safety Engineering (Vol.I)

      Pages: 412-416

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] インクリメンタルガーベジコレクション手法によるメージャーガーベジコレクションの最適方2011

    • Author(s)
      中村正治, 趙旭峰, 中川覃夫
    • Journal Title

      IEICE, R2011-26 (2011-07)

      Pages: 43-47

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Cumulative Damage Models with Replacement Last2011

    • Author(s)
      Xufeng Zhao, Keiko Nakayama, Syouji Nakamura
    • Journal Title

      Communication in Computer and Information Science 257, Springer

      Pages: 338-345

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Reorganization Schedules of Structural Database Deterioration, International Journal of Reliability2010

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Journal Title

      Quality and Safety Engineering

      Volume: Vol.17, No.02 Pages: 157-165

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Policies for Random and Periodic Garbage Collections with Teniring Threshold2010

    • Author(s)
      Xufeng Ahao, Syouji Nakamura, Toshio Nakagawa
    • Journal Title

      Computer and Information Science

      Volume: Vol.74 Pages: 125-135

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Policies for a Generational Garbage Collector with Tenuring Threshold2010

    • Author(s)
      Xu-Feng Zhao, Syouji Nakamura, Cun-Hua Qian
    • Journal Title

      World Publishing Corporation

      Volume: Vol.12 Pages: 39-45

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Reorganization Schedules of Structural Database Deterioration2010

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Journal Title

      International Journal of Reliability, Quality and Safety Engineering

      Volume: Vol 17 No.02 Pages: 157-165

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal Policies for Random and Periodic Garbage Collections with Teniring Threshold2010

    • Author(s)
      Xufeng Zhao, Syouji Nakamura, Toshio Nakagawa
    • Journal Title

      Communications in Computer and Information Science

      Volume: Vol.74 Pages: 125-135

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] ptimal Policies for a Generational Garbage Collector with Tenuring Threshold2010

    • Author(s)
      Xu-Feng Zhao, Syouji Nakamura, Cun-Hua Qian
    • Journal Title

      12, World Publishing Corporation

      Volume: Vol.12 Pages: 39-45

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Replacement and Preventive Maintenance Models with Random Working Times2010

    • Author(s)
      M.Chen, S.Nakamura, T.Nakagawa
    • Journal Title

      IEICE Transactions E93-A

      Pages: 500-507

    • NAID

      10026863281

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] OPTIMAL REORGANIZATION SCHEDUL OF STRUCTUAL DATABASE DETERIORATION2009

    • Author(s)
      Syouji NAKAMURA, Toshio NAKAGAWA, Keiko NAKAYAMA
    • Journal Title

      15th ISSAT International Conference Reliability and Quality in Design Proceedings

      Pages: 210-214

    • Related Report
      2011 Final Research Report
    • Peer Reviewed
  • [Journal Article] Application of Stochastic Modeling to Study Support Policy in e-learning2009

    • Author(s)
      Syouji NAKAMURA, Keiko NAKAYAMA, Toshio NAKAGAWA
    • Journal Title

      教育工学会研究報告集

      Pages: 65-68

    • NAID

      40016701132

    • Related Report
      2011 Final Research Report
  • [Journal Article] Optimal Random Preventive Maintenance Policies2009

    • Author(s)
      Mingchih Chen, Syouji NAKAMURA, Toshio NAKAGAWA
    • Journal Title

      信学技報IEICE Technical Report

      Pages: 49-53

    • NAID

      110007161887

    • Related Report
      2011 Final Research Report
  • [Presentation] Cumulative Damage Models with Replacement Last2011

    • Author(s)
      Xufeng Zhao, Keiko Nakayama, Syouji Nakamura
    • Organizer
      International Conferences ASEA 2011
    • Place of Presentation
      Jeju Island, Korea
    • Year and Date
      2011-12-08
    • Related Report
      2011 Annual Research Report 2011 Final Research Report
  • [Presentation] Optimal Replacement Policies for Continuous Model2011

    • Author(s)
      趙旭峰, 中村正治, 中川覃夫
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      甲南大学
    • Year and Date
      2011-09-15
    • Related Report
      2011 Final Research Report
  • [Presentation] Optimal Replacement Policies for Continuous Models2011

    • Author(s)
      趙旭峰, 中村正治, 中川覃夫
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      甲南大学
    • Year and Date
      2011-09-15
    • Related Report
      2011 Annual Research Report
  • [Presentation] Studies on Tenuring Collection Times for a Generational Garbage Collector2011

    • Author(s)
      Xu-Feng Zhao, Cun-Hua Qian, Syouji Nakamura
    • Organizer
      The 10th International Symposium on Operations Research and Its Applications(ISORA' 11)
    • Place of Presentation
      Dunhung, China
    • Year and Date
      2011-08-28
    • Related Report
      2011 Final Research Report
  • [Presentation] Studies on Tenuring Collection Times for a Generational Garbage Collector2011

    • Author(s)
      Xu-Feng Zhao, Cun-Hua Qian, Syouji Nakamura
    • Organizer
      The 10th International Symposium on Operations Research and Its Applications (ISORA'11)
    • Place of Presentation
      Dunhung, China
    • Year and Date
      2011-08-28
    • Related Report
      2011 Annual Research Report
  • [Presentation] Optimal Major Garbage Collection Interval with Incremental Garbage Collection2011

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Organizer
      17th ISSAT International Conference on Reliability and Quality in Design
    • Place of Presentation
      Vancouver B. C., CANADA
    • Year and Date
      2011-08-04
    • Related Report
      2011 Final Research Report
  • [Presentation] Optimal Major Garbage Collection Interval with Incremental Garbage Collection2011

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Organizer
      17th ISSAT International Confference on Reliability and Quality in Design
    • Place of Presentation
      Vancouver B.C., CANADA
    • Year and Date
      2011-08-04
    • Related Report
      2011 Annual Research Report
  • [Presentation] インクリメンタルガーベジコレクションの最適方策2011

    • Author(s)
      中村正治、趙旭峰、中川覃夫
    • Organizer
      電子情報通信学会
    • Place of Presentation
      九州大学
    • Year and Date
      2011-07-22
    • Related Report
      2011 Annual Research Report 2011 Final Research Report
  • [Presentation] Optimal Replacement Policies for Three Continuous Damage Models2011

    • Author(s)
      XUFENG ZHAO, CUNHA QIAN, SYOUJI NAKAMURA
    • Organizer
      The 7th International Conference on "mathematical Methods in Reliability": Theory. Methods. Applications
    • Place of Presentation
      Beijing China
    • Year and Date
      2011-06-20
    • Related Report
      2011 Final Research Report
  • [Presentation] Optimal Replacement Policies for Three Continuous Damage Models2011

    • Author(s)
      XUFENG ZHAO, CUNHA QIAN, SYOUJI NAKAMURA
    • Organizer
      The 7th International Conference on "mathematical Methods in Reliability" : Theory. Methods. Applications
    • Place of Presentation
      Beijing China
    • Year and Date
      2011-06-20
    • Related Report
      2011 Annual Research Report
  • [Presentation] 世代管理ガーベージコレクションの数理解析2010

    • Author(s)
      趙旭峰、中村正治、中川覃夫
    • Organizer
      本オペレーションズ・リサーチ学会
    • Place of Presentation
      福島県こらっせ福島
    • Related Report
      2010 Annual Research Report
  • [Presentation] 世代管理ガーベジコレクションの最適領域管理方策2010

    • Author(s)
      中村正治, 中川覃夫
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      首都大学東京
    • Related Report
      2009 Annual Research Report
  • [Presentation] 並列システムに対するMTTFの近似計算2010

    • Author(s)
      中川覃夫, 水谷聡
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      首都大学東京
    • Related Report
      2009 Annual Research Report
  • [Presentation] データベース部分再構成を考慮した関係データベース最適再編成間隔2009

    • Author(s)
      中村正治, 中川覃夫
    • Organizer
      電子情報通信学会技術報告
    • Place of Presentation
      藤田観光旭川ワシントンホテル
    • Year and Date
      2009-07-31
    • Related Report
      2009 Annual Research Report
  • [Presentation] 最適ランダム予防保全方策2009

    • Author(s)
      Mingchih Chen, 中村正治, 中川覃夫
    • Organizer
      電子情報通信学会技術報告
    • Place of Presentation
      広島 修道大
    • Year and Date
      2009-05-29
    • Related Report
      2009 Annual Research Report
  • [Presentation] Optimal Reorganization Schedule of Structural Database Deterioration2009

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Organizer
      ISSAT Reliability and Quality in Design
    • Place of Presentation
      San Francisco
    • Related Report
      2009 Annual Research Report
  • [Presentation] Reliability Characteristics of an Asynchronous Replication System Considering the Number of Data Update2009

    • Author(s)
      Mitsutaka Kimura, Mitsuhiro Imaizumi, Toshio Nakagawa
    • Organizer
      ISSAT Reliability and Quality in Design
    • Place of Presentation
      San Francisco
    • Related Report
      2009 Annual Research Report
  • [Presentation] Optimal Imperfect Maintenance of Aircraft2009

    • Author(s)
      Kodo Ito, Toshio Nakagawa
    • Organizer
      ISSAT Reliability and Quality in Design
    • Place of Presentation
      San Francisco
    • Related Report
      2009 Annual Research Report
  • [Presentation] Random Checking Times of Backup Operation for a Database System2009

    • Author(s)
      Kenichiro Naruse, Toshio Nakagawa, Sayori Maeji
    • Organizer
      ISSAT Reliability and Quality in Design
    • Place of Presentation
      San Francisco
    • Related Report
      2009 Annual Research Report
  • [Presentation] Random and Age Replacement Policies2009

    • Author(s)
      Mingchih Chen, Satoshi Mizutani, Toshio Nakagawa
    • Organizer
      ISSAT Reliability and Quality in Design
    • Place of Presentation
      San Francisco
    • Related Report
      2009 Annual Research Report
  • [Presentation] Optimal Backup Time of Database by Differential Backup Method2009

    • Author(s)
      Syouji Nakamura, Keiko Nakayama, Toshio Nakagawa
    • Organizer
      Industrial Engineering and Engineering Management(IEEM)
    • Place of Presentation
      Hong Kong
    • Related Report
      2009 Annual Research Report
  • [Presentation] Extended Maintenance and Inspection Models for a Parallel System2009

    • Author(s)
      Satoshi Mizutani, Toshio Nakagawa, Mingchih Chen
    • Organizer
      Industrial Engineering and Engineering Management(IEEM)
    • Place of Presentation
      Hong Kong
    • Related Report
      2009 Annual Research Report
  • [Presentation] データベース再構成を考慮した最適編成間隔2009

    • Author(s)
      中村正治, 中川覃夫
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      長崎大学
    • Related Report
      2009 Annual Research Report
  • [Presentation] Modified Random Inspection Policies2009

    • Author(s)
      中川覃夫, 水谷聡
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      長崎大学
    • Related Report
      2009 Annual Research Report
  • [Presentation] ガーベージコレクションにおける最適世代領域管理方策2009

    • Author(s)
      中村正治, 中川覃夫
    • Organizer
      京都大学数理解析研究所
    • Place of Presentation
      京都大学
    • Related Report
      2009 Annual Research Report
  • [Book] Stochastic Processes with Applications to Reliability Theory2011

    • Author(s)
      Toshio Nakagawa
    • Total Pages
      300
    • Publisher
      Springer-Verlag, London
    • Related Report
      2011 Annual Research Report 2011 Final Research Report
  • [Book] 経済学周辺の確率過程と教育2011

    • Author(s)
      中山惠子, 中村正治, 中川覃夫, 児島完二
    • Total Pages
      133
    • Publisher
      勁草書房
    • Related Report
      2011 Final Research Report
  • [Book] 経済学周辺の確率過程と教育2011

    • Author(s)
      中山恵子, 中村正治, 中川覃夫, 児島完二
    • Total Pages
      133
    • Publisher
      勁草書房
    • Related Report
      2011 Annual Research Report
  • [Book] 経済学周辺の確率過程と教育2011

    • Author(s)
      中山惠子編著, 中村正治
    • Total Pages
      133
    • Publisher
      勁草書房
    • Related Report
      2010 Annual Research Report
  • [Book] Stochastic Reliability Modeling, Optomization and Applications2010

    • Author(s)
      Syouji Nakamura, Toshio Nakagawa,(ED)
    • Total Pages
      300
    • Publisher
      World Scientific, Singapore
    • Related Report
      2009 Annual Research Report
  • [Remarks]

    • URL

      http://tdb.kinjo-u.ac.jp/search/

    • Related Report
      2011 Final Research Report

URL: 

Published: 2009-04-01   Modified: 2016-04-21  

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