| Project/Area Number |
24740061
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Multi-year Fund |
|---|
| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
|
|---|
| Research Institution | Waseda University (2014)
Osaka University (2012-2013) |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2012-04-01 – 2015-03-31
|
| Project Status |
Completed (Fiscal Year 2014)
|
| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
|
|---|
| Keywords | 破産理論 / 確率過程 / 数理統計 / 保険数理 / 漸近理論 / レヴィ型リスクモデル / 破産関連リスク量 / 再生方程式 / 国際情報交換(アメリカ，カナダ，中国) |
|---|
| Outline of Final Research Achievements |
As a generalization of the classical insurance ruin theory, we investigated a generalized Gerber-Shiu analysis under Levy insurance risk models. Main results are an extension of the ruin-related risk (Gerber-Shiu function) to a integral type functional of the insurance surplus, the derivation of its renewal type equation, and a representation theorem by a scale function for a spectrally negative Levy process. Moreover, we studied an inflation risk model written by a stochastic differential equation, and gave a bound of ruin probability and an optimal strategy of a reinsurance. In statistical analysis, we gave an approximation by the Edgeworth type expansion of ruin probability, inference for the Gerber-Shiu function from a discrete samples, and investigated the statistical error with the rate of convergence. We also show by simulations that these methodologies numerically work well.
|
