Statistical and stochastic methods toward the risk management of catastrophic disasters -- application of heavy tailed distributions to the insurance --

• Project/Area Number: 23800065
• Research Category: Grant-in-Aid for Research Activity Start-up
• Allocation Type: Single-year Grants
• Research Field: Statistical science
• Research Institution: Nanzan University
• Principal Investigator: MATSUI Muneya 南山大学, 経営学部, 准教授 (70449031)
• Project Period (FY): 2011 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000); Fiscal Year 2012: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
• Keywords: ポアソン / クラスター / モデル / ポアソン過程 / レヴィ過程 / 損害保険 / 予測 / ポアソン・クラスター・モデル / 予測と誤差 / ポアソンクラスターモデル / 損害保険数理 / クレーム予測 / 点過程

Research Abstract

We extended the Poisson cluster process (model) and derived the predictors and their mean squired errors for the future values of the process based on the past observations. We obtained analytical expressions of these quantities in order to apply the method to e.g. the claims reversing problems in the non-life insurance. The result and other related results have been published in three peer-reviewed journals respectively.

Research Products

• [Journal Article] Prediction in a Poisson cluster model with multiple clusterprocesses (2013)
  • Author(s): Matsui, M
  • Journal Title: SACT: Scandinavian Actuarial Journal Volume: online Issue: 1 Pages: 1-31
  • DOI: 10.1080/03461238.2013.773938
  • Peer Reviewed
• [Journal Article] On the exponential process associated with a CARMA-type process (2013)
  • Author(s): Matsui, M. and Shieh, N.-R
  • Journal Title: Stochastics An International Journal of Probability and Stochastic Processes
  • Peer Reviewed
• [Journal Article] The Lamperti Transform of fractional Brownian motion and relatedself-similar Gaussian processes (2012)
  • Author(s): Matsui, M. and Shieh, N.-R
  • Journal Title: Nanzan University Center forManagement Studies, Working Paper Volume: 1201 Pages: 1-18
  • URL: http://www.ic.nanzan-u.ac.jp/MCENTER/pdf/wp1201.pdf
• [Journal Article] Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions (2012)
  • Author(s): Anita Behme
  • Journal Title: Bernoulli Volume: 18 Issue: 4 Pages: 1172-1187
  • DOI: 10.3150/11-bej382
  • Peer Reviewed
• [Journal Article] The Lamperti Transform of fractional Brownian motion and related self-similar Gaussian processes (2012)
  • Author(s): Matsui, M. and Shieh, N.-R.
  • Journal Title: Nanzan University Center for Management Ｓtudies, Working Paper Volume: 1201 Pages: 1-18
• [Journal Article] On the exponential process associated with a CARMA-type process (2012)
  • Author(s): Matsui, M., Shieh, N.-R.
  • Journal Title: Stochastics An International Journal of Probability and Stochastic Processes Volume: (掲載確定) Issue: 5 Pages: 743-762
  • DOI: 10.1080/17442508.2012.654791
  • Peer Reviewed
• [Journal Article] Prediction in a Poisson cluster model with multiple cluster processes (2011)
  • Author(s): Matsui, M.
  • Journal Title: 南山大学経営研究センター、ワーキングペーパーシリーズ Pages: 1-25
• [Journal Article] Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
  • Author(s): Behme, A., Maejima, M., Matsui, M., Sakuma, N.
  • Journal Title: Bernoulli Volume: (掲載確定)
  • Peer Reviewed
• [Presentation] Prediction in a Poisson cluster model with multiple cluster (2012)
  • Author(s): Muneya Matsui
  • Organizer: Seminar i anvendt matematik ogstatistic
  • Place of Presentation: Universityof Copenhagen. Denmark
  • Year and Date: 2012-03-23
• [Presentation] Prediction in a Poisson cluster model with multiple cluster (2012)
  • Author(s): Muneya Matsui
  • Organizer: Seminari anvendt matematik og statistik
  • Place of Presentation: University of Copenhagen
  • Year and Date: 2012-03-23
• [Presentation] 自己相似ガウス過程の自己共分散関数の大小関係について,共同研究集会 (2011)
  • Author(s): 松井宗也
  • Organizer: 無限分解可能過程に関連する諸問題
  • Place of Presentation: 統計数理研究所
  • Year and Date: 2011-11-11
• [Presentation] 自己相似ガウス過程の自己共分散関数の大小関係について (2011)
  • Author(s): 松井宗也
  • Organizer: 共同研究集会「無限分解可能過程に関連する諸問題」
  • Place of Presentation: 統計数理研究所
  • Year and Date: 2011-11-11
• [Presentation] Prediction and extensions in the Poisson cluster model given in Matsui and Mikosch (2011)
  • Author(s): Muneya Matsui
  • Organizer: NCTS/TPE Seminar in Analysis/Probability/Applications
  • Place of Presentation: National university ofTaiwan. Taiwan
  • Year and Date: 2011-08-03
• [Presentation] Prediction and extensions in the Poisson cluster model given in Matsui and Mikosch (2010) (2011)
  • Author(s): Muneya Matsui
  • Organizer: NCTS/TPE Seminar in Analysis/Probability/Applications
  • Place of Presentation: National university of Taiwan
  • Year and Date: 2011-08-03