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New Developments in Statistics of Economic Risk and Financial Risk

Research Project

Project/Area Number 25245033
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionMeiji University (2016)
The University of Tokyo (2013-2015)

Principal Investigator

naoto kunitomo  明治大学, 政治経済学部, 特任教授 (10153313)

Co-Investigator(Kenkyū-buntansha) 金子 隆一  国立社会保障・人口問題研究所, 国立社会保障・人口問題研究所, 副所長 (30415814)
川崎 能典  統計数理研究所, モデリング研究系, 教授 (70249910)
田中 周二  日本大学, 文理学部, 教授 (30451305)
大屋 幸輔  大阪大学, 経済学研究科(研究院), 教授 (20233281)
塚原 英敦  成城大学, 経済学部, 教授 (10282550)
清水 泰隆  早稲田大学, 理工学術院, 准教授 (70423085)
沖本 竜義  一橋大学, 国際企業戦略研究科, 准教授 (70420304)
大森 裕浩  東京大学, 大学院経済学研究科(経済学部), 教授 (60251188)
Co-Investigator(Renkei-kenkyūsha) KUSUOKA Sigeo  東京大学, 名誉教授
ICHIBA Tomoyuki  カリフォルニア大学(サンターバーバラ校), 統計学部, 准教授
Project Period (FY) 2013-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥33,930,000 (Direct Cost: ¥26,100,000、Indirect Cost: ¥7,830,000)
Fiscal Year 2016: ¥8,320,000 (Direct Cost: ¥6,400,000、Indirect Cost: ¥1,920,000)
Fiscal Year 2015: ¥8,190,000 (Direct Cost: ¥6,300,000、Indirect Cost: ¥1,890,000)
Fiscal Year 2014: ¥8,320,000 (Direct Cost: ¥6,400,000、Indirect Cost: ¥1,920,000)
Fiscal Year 2013: ¥9,100,000 (Direct Cost: ¥7,000,000、Indirect Cost: ¥2,100,000)
Keywords経済リスク / 金融リスク / 保険リスク / 希な事象 / 再起的事象 / 確率過程 / 統計学 / 稀な現象と再帰的現象 / 保険の統計学 / 高頻度金融データの統計学 / リスク尺度 / 社会・経済リスク / 統計的リスク管理 / 希な現象 / 再帰的現象
Outline of Final Research Achievements

This research project has studied important issues of economic risk analysis including financial risk and insurance risk in modern society and economy. We have studied various scientific and systematic aspects of economic risk analysis the perspective of probability as well as statistics. The project members have presented research results at various international as well as domestic academic meetings, and published some books and many academic papers.
For financial risk and insurance risk analysis we have investigated the statistical risk theory and mathematical finance. For economic risk, we have investigated the point process approach, which would make a new risk analysis of economic rare events. We also made some progress on the consistent statistical analysis of micro analysis (or high frequency risk analysis) and macro analysis (or low frequency risk analysis).

Report

(5 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Annual Research Report
  • 2014 Annual Research Report
  • 2013 Annual Research Report
  • Research Products

    (105 results)

All 2017 2016 2015 2014 2013

All Journal Article (28 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 20 results,  Open Access: 13 results,  Acknowledgement Compliant: 1 results) Presentation (68 results) (of which Int'l Joint Research: 7 results,  Invited: 5 results) Book (8 results) Funded Workshop (1 results)

  • [Journal Article] “多次元ホークス型モデルによる金融市場の因果性分析2017

    • Author(s)
      国友直人・江原斐夫・栗栖大輔
    • Journal Title

      日本統計学会和文誌

      Volume: 未定

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] "Bayesian estimation of entry games with multiple players and multiple equilibria,"2016

    • Author(s)
      Yuko Onishi and Yasuhiro Omori
    • Journal Title

      Japanese Economic Review

      Volume: 4 Issue: 4 Pages: 418-440

    • DOI

      10.1111/jere.12108

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] "Dynamic equicorrelation stochastic volatility,"2016

    • Author(s)
      Yuta Kurose and Yasuhiro Omori
    • Journal Title

      Computational Statistics and Data Analysis

      Volume: 3

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] "Matrix exponential stochastic volatility with cross leverage,"2016

    • Author(s)
      Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
    • Journal Title

      Computational Statistics and Data Analysis

      Volume: 2

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] "Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution, "2016

    • Author(s)
      Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
    • Journal Title

      International Journal of Forecasting

      Volume: 1

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling2015

    • Author(s)
      Kunitomo, N., H. Misaki and S. Sato
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 22(3) Issue: 3 Pages: 333-368

    • DOI

      10.1007/s10690-015-9205-3

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 「人口減少・少子高齢化の実相」2015

    • Author(s)
      金子 隆一
    • Journal Title

      『読売クオータリー』秋号

      Volume: 秋号 Pages: 12-23

    • Related Report
      2015 Annual Research Report
  • [Journal Article] Sparse predictive modeling for bank telemarketing success using smooth-threshold estimating equations2015

    • Author(s)
      Kawasaki, Y., Ueki, M.
    • Journal Title

      Journal of Japanese Society of Computational Statistics

      Volume: 28 Issue: 1 Pages: 53-66

    • DOI

      10.5183/jjscs.1502003_217

    • NAID

      130005434011

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling2015

    • Author(s)
      N. Kunitomo and H. Misaki
    • Journal Title

      International Review of Economics and Finance

      Volume: 印刷中

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 市場整合性とは何か?< その有用性と限界>2015

    • Author(s)
      田中周二
    • Journal Title

      JARIPジャーナル(日本保険年金リスク学会、査読誌)

      Volume: 6-1

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Proposal for re-designing social security: Long-term care pension2015

    • Author(s)
      Shuji Tanaka
    • Journal Title

      ASPPAC 2014 (Geneva Papers)

      Volume: 印刷中

    • Related Report
      2014 Annual Research Report
  • [Journal Article] 経済リスクの統計学の新展開2013:稀な事象と再起的事象2014

    • Author(s)
      国友直人・川崎能典 共編
    • Journal Title

      CIRJE報告書R-17( 東京大学経済学部)

      Volume: CIRJE-R-17

    • Related Report
      2014 Annual Research Report
    • Open Access / Acknowledgement Compliant
  • [Journal Article] Entering the post-demographic transition phase in Japan: its concept, indicators and implications.2014

    • Author(s)
      R. Sato and R. Kaneko
    • Journal Title

      EPC 2014 (Europian Population Conference)

      Volume: EPC2014

    • Related Report
      2014 Annual Research Report
    • Open Access
  • [Journal Article] 人口減少下の国際人口移動の意味2014

    • Author(s)
      金子隆一
    • Journal Title

      人口問題研究

      Volume: 70-3 Pages: 189-191

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] 少子化の構造と動向-40年の過程が問うもの2014

    • Author(s)
      金子隆一
    • Journal Title

      調査季報

      Volume: 175 Pages: 50-53

    • Related Report
      2014 Annual Research Report
    • Open Access
  • [Journal Article] 周波数領域における時系列間の因果性の変化の検証2014

    • Author(s)
      木下 亮, 大屋幸輔
    • Journal Title

      日本統計学会誌

      Volume: 44-1 Pages: 19-40

    • NAID

      110009864634

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Potential measures for spectrally negative Markov additive processes with applications in ruin theory2014

    • Author(s)
      Runhuan Feng and Yasutaka Shimizu
    • Journal Title

      Insurance: Mathematics and Economics

      Volume: 59 Pages: 11-26

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] The YUIMA Project: A computational framework for simulation and inference of stochastic differential equations2014

    • Author(s)
      Brouste, A.; Fukasawa, M.; Hino, H.; Iacus, S.; Kamatani, K.; Koike, Y.; Masuda, H.; Nomura, R.; Ogihara, Y. Shimizu; T; Uchida, M.; Yoshida, N. (12名)
    • Journal Title

      Journal of Statistical Software (Online journal)

      Volume: 57-4

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] 接合分布関数(コピュラ)― その類型と理論の展望 ―2014

    • Author(s)
      塚原英敦
    • Journal Title

      証券アナリストジャーナル

      Volume: 52 (3) Pages: 23-32

    • Related Report
      2013 Annual Research Report
  • [Journal Article] “Modified Likelihood Ratio Test for Regime Switching2014

    • Author(s)
      Kasahara, H., Okimoto, T., and Shimotsu, K.
    • Journal Title

      Japanese Economic Review

      Volume: 65 Pages: 25-41

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise2013

    • Author(s)
      Naoto Kunitomo and Seisho Sato
    • Journal Title

      North American Journal of Economics and Finance

      Volume: 26 Pages: 282-309

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Detection of heterogeneous structures on the Gaussian copula model using predictive power entropy2013

    • Author(s)
      Notsu, A., Kawasaki, Y. and Eguchi, S.
    • Journal Title

      ISRN Probability and Statistics

      Volume: 2013 Pages: 1-10

    • DOI

      10.1155/2013/787141

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 分母人口を限定した出生力指標からみる2000 年代の出生力変動2013

    • Author(s)
      金子隆一、岩澤美帆
    • Journal Title

      『人口問題研究』国立社会保障・人口問題研究所

      Volume: 69 (4) Pages: 103-123

    • Related Report
      2013 Annual Research Report
  • [Journal Article] Gaussian K-Scheme: Justification for KLNV method2013

    • Author(s)
      Shigeo KUSUOKA
    • Journal Title

      Advances in Mathematical Economics(図書) ed. S.Kusuoka, M.Maruyama

      Volume: 17 Pages: 71-120

    • NAID

      40021337087

    • Related Report
      2013 Annual Research Report
  • [Journal Article] Estimation of Distortion Risk Measures2013

    • Author(s)
      Hideatsu Tsukahara
    • Journal Title

      Journal of Financial Econometrics

      Volume: 11 Issue: 1 Pages: 213-235

    • DOI

      10.1093/jjfinec/nbt005

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Finite-time survival probability and credit default swaps pricing under geometric Lévy markets2013

    • Author(s)
      Hao, X.; Li, X and Shimizu, Y.
    • Journal Title

      Insurance, Mathematics and Economics

      Volume: 53 Pages: 14-23

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Least squares estimator for discretely observed stochastic processes driven by additive small Lévy noises2013

    • Author(s)
      Long, H.; Shimizu, Y. and Sun, W.
    • Journal Title

      Journal of Multivariate Analysis

      Volume: 116 Pages: 422-439

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On a generalization from ruin to default in a Lévy insurance risk model2013

    • Author(s)
      Feng, R. and Shimizu, Y.
    • Journal Title

      Methodology and Computing in Applied Probability

      Volume: 15, (4), Pages: 773-802

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Presentation] “Multivariate realized stochastic volatility with dynamic pairwise correlations”2017

    • Author(s)
      大森裕浩
    • Organizer
      大阪大学大学院経済学研究科経営研究会
    • Place of Presentation
      大阪大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 「On Greeks」2016

    • Author(s)
      楠岡成雄
    • Organizer
      科学研究プロジェクト「経済リスクの統計学の新展開:希な事象と再帰的事象」
    • Place of Presentation
      東京大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 0「Dynamic risk measures for stochastic asset processes from ruin theory」2016

    • Author(s)
      清水泰隆
    • Organizer
      科学研究プロジェクト「経済リスクの統計学の新展開:希な事象と再帰的事象」
    • Place of Presentation
      東京大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 「日本人の寿命 -過去・現在・未来-」2016

    • Author(s)
      田中周二・長谷川敏彦・伊藤憲祐
    • Organizer
      科学研究プロジェクト「経済リスクの統計学の新展開:希な事象と再帰的事象」
    • Place of Presentation
      東京大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 「Simultaneous multivariate point process models with an application to causality2016

    • Author(s)
      国友直人・栗栖大輔・天野裕介・粟屋直
    • Organizer
      科学研究プロジェクト「経済リスクの統計学の新展開:希な事象と再帰的事象」
    • Place of Presentation
      東京大学
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] “The Empirical Beta Copula"2015

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      International Symposium on Dependence and Copulas 2015
    • Place of Presentation
      University of London(England,London)
    • Year and Date
      2015-12-12
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 帰無仮説下における因果性測度の検定統計量の分布に関して2015

    • Author(s)
      木下 亮,大屋幸輔
    • Organizer
      統計関連学会連合大会
    • Place of Presentation
      岡山大学(岡山県岡山市)
    • Year and Date
      2015-09-07
    • Related Report
      2015 Annual Research Report
  • [Presentation] Scale mixture of skewed Kalman filter and its application2015

    • Author(s)
      Kawasaki, Y. and Kurisu, D.
    • Organizer
      Workshop on Complex Systems Modeling and Estimation Challenges in Big Data 2015 (CSM2015)
    • Place of Presentation
      Tachikawa, Tokyo (The Institute of Statistical Mathematics)
    • Year and Date
      2015-07-01
    • Related Report
      2015 Annual Research Report
  • [Presentation] Trend, Seasonality and Economic Time Series:the Nonstationary Errors-in-variables Models2015

    • Author(s)
      国友直人
    • Organizer
      International Symposium on Recent Developments in Econometric Theory with Applications in Honor of Professor Takeshi Amemiya
    • Place of Presentation
      Xiamen University, 中国福建省
    • Year and Date
      2015-06-21
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] リスク尺度とその周辺<良い動的リスク尺度とは?>2015

    • Author(s)
      田中周二
    • Organizer
      JARIPフォーラム2015
    • Place of Presentation
      日本大学文理学部オーバルホール(東京都、世田谷区)
    • Year and Date
      2015-03-30
    • Related Report
      2014 Annual Research Report
  • [Presentation] On Backtesting Risk Measurement Models2015

    • Author(s)
      塚原英敦
    • Organizer
      JARIPフォーラム2015
    • Place of Presentation
      日本大学文理学部オーバルホール(東京都、世田谷区)
    • Year and Date
      2015-03-30
    • Related Report
      2014 Annual Research Report
  • [Presentation] 有限時間のGerber-Shiu 関数を用いた動的リスク尺度2015

    • Author(s)
      清水泰隆
    • Organizer
      ARIPフォーラム2015
    • Place of Presentation
      日本大学世田谷キャンパス(東京都、世田谷区)
    • Year and Date
      2015-03-30
    • Related Report
      2014 Annual Research Report
  • [Presentation] The beta-smoothed empirical copula2015

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      International Workshop in Waseda University (IWIW2015) --- Recent Developments in Statistical Distribution Theory and its Applications
    • Place of Presentation
      早稲田大学西早稲田キャンパス(東京都、新宿区)
    • Year and Date
      2015-03-27
    • Related Report
      2014 Annual Research Report
  • [Presentation] 正規分布列近似を用いた簡便なリスク統合の方法2015

    • Author(s)
      田中周二
    • Organizer
      研究集会「第16回ノンパラメトリック統計解析とベイズ統計」
    • Place of Presentation
      慶応義塾大学日吉キャンパス協生館(神奈川県、横浜市)
    • Year and Date
      2015-03-26
    • Related Report
      2014 Annual Research Report
  • [Presentation] Expection of Diffusion Processes with absorbing boundary2015

    • Author(s)
      Shigeo Kusuoka
    • Organizer
      Workshop on Mathematical Finance and related Issues
    • Place of Presentation
      大阪大学中之島センター(大阪府、大阪市)
    • Year and Date
      2015-03-18
    • Related Report
      2014 Annual Research Report
  • [Presentation] LSE-type estimation for stochastic processes with small Lévy noise2015

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      Workshop: Statistique Asymptotique des Processus Stochastiques X
    • Place of Presentation
      Le Mans (France)
    • Year and Date
      2015-03-17 – 2015-03-20
    • Related Report
      2014 Annual Research Report
  • [Presentation] 円滑閾値型推定方程式によるリスク因子の探索法とその応用2015

    • Author(s)
      川崎能典
    • Organizer
      応用統計学会2015年度年会
    • Place of Presentation
      京都大学芝蘭会館稲盛ホール(京都府、京都市)
    • Year and Date
      2015-03-14
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] 確率微分方程式のレヴィ型小分散モデルにおけるドリフト推定2015

    • Author(s)
      清水泰隆
    • Organizer
      第9回日本統計学会春季大会
    • Place of Presentation
      明治大学中野キャンパス(東京都、中野区)
    • Year and Date
      2015-03-08
    • Related Report
      2014 Annual Research Report
  • [Presentation] 株価指数と先物間の因果関係変化の検証2015

    • Author(s)
      大屋幸輔, 木下 亮
    • Organizer
      ワークショップ「証券市場の諸問題」
    • Place of Presentation
      大阪大学中之島センター(大阪府、大阪市)
    • Year and Date
      2015-02-24
    • Related Report
      2014 Annual Research Report
  • [Presentation] リスク理論再訪:動的リスク管理に向けて2015

    • Author(s)
      清水泰隆
    • Organizer
      日本アクチュアリー会 関西委員会例会
    • Place of Presentation
      大阪梅田アプローズタワー(大阪府、大阪市)
    • Year and Date
      2015-02-09
    • Related Report
      2014 Annual Research Report
  • [Presentation] Expection of Diffusion Processes with absorbing boundary2015

    • Author(s)
      Shigeo Kusuoka
    • Organizer
      第6回数理経済学会国際会議
    • Place of Presentation
      慶應義塾大学三田キャンパス(東京都、港区)
    • Year and Date
      2015-01-26
    • Related Report
      2014 Annual Research Report
  • [Presentation] 帰無仮説下における因果性測度の検定統計量の分布に関して2015

    • Author(s)
      木下 亮, 大屋幸輔
    • Organizer
      応用統計計量ワークショップ
    • Place of Presentation
      東北大学(宮城県、仙台市)
    • Year and Date
      2015-01-22
    • Related Report
      2014 Annual Research Report
  • [Presentation] 量的金融緩和が現物市場と先物市場の関係に与えた影響2015

    • Author(s)
      大屋幸輔, 木下 亮
    • Organizer
      応用統計計量ワークショップ
    • Place of Presentation
      東北大学(宮城県、仙台市)
    • Year and Date
      2015-01-22
    • Related Report
      2014 Annual Research Report
  • [Presentation] A Proposal for re-designing social security: Long-term care pension2014

    • Author(s)
      Shuji Tanaka
    • Organizer
      ASPPAC 2014 (Applied Statistics and Public Policy Analysis Conference)
    • Place of Presentation
      Charles Sturt University, Wagga Wagga (Australia)
    • Year and Date
      2014-12-11 – 2014-12-12
    • Related Report
      2014 Annual Research Report
  • [Presentation] 少子化-人口変動の震源2014

    • Author(s)
      金子隆一
    • Organizer
      政策研究大学院大学「人口減少・少子高齢化に対応した地域の政策形成に関する研究会」
    • Place of Presentation
      政策研究大学院大学(東京都、港区)
    • Year and Date
      2014-12-09
    • Related Report
      2014 Annual Research Report
  • [Presentation] Change in trading rules and its impact on the distributional properties of commodity futures2014

    • Author(s)
      Kawasaki, Y. and Aoki, Y.
    • Organizer
      CFE-ERCIM (8th-Computational and Financial Econometrics, 7th-International Conference on Computational and Methodological Statistics)
    • Place of Presentation
      University of Pisa, Pisa (Italy)
    • Year and Date
      2014-12-07
    • Related Report
      2014 Annual Research Report
  • [Presentation] Measurement of causality change between returns of financial assets2014

    • Author(s)
      R. Kinoshita and K. Oya
    • Organizer
      CFE-ERCIM (8th-Computational and Financial Econometrics, 7th-International Conference on Computational and Methodological Statistics)
    • Place of Presentation
      University of Pisa, Pisa (Italy)
    • Year and Date
      2014-12-06 – 2014-12-08
    • Related Report
      2014 Annual Research Report
  • [Presentation] On Backtesting Risk Measurement Models2014

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      CFE-ERCIM (8th-Computational and Financial Econometrics, 7th-International Conference on Computational and Methodological Statistics)
    • Place of Presentation
      University of Pisa, Pisa (Italy)
    • Year and Date
      2014-12-06 – 2014-12-08
    • Related Report
      2014 Annual Research Report
  • [Presentation] The SIML Estimation of Integrated Covariance and Hedging Coefficients under Micro-market noise and Random Sampling2014

    • Author(s)
      N. Kunitomo and H. Misaki
    • Organizer
      CFE-ERCIM (8th-Computational and Financial Econometrics, 7th-International Conference on Computational and Methodological Statistics)
    • Place of Presentation
      University of Pisa, Pisa (Italy)
    • Year and Date
      2014-12-06
    • Related Report
      2014 Annual Research Report
  • [Presentation] 人口の動向と課題2014

    • Author(s)
      金子隆一
    • Organizer
      政策研究大学院大学「人口減少・少子高齢化に対応した地域の政策形成に関する研究会」
    • Place of Presentation
      政策研究大学院大学(東京都、港区)
    • Year and Date
      2014-11-28
    • Related Report
      2014 Annual Research Report
  • [Presentation] 人口減少社会を迎える日本の課題と挑戦2014

    • Author(s)
      金子隆一
    • Organizer
      財務省税制問題研究会
    • Place of Presentation
      財務省(東京都、千代田区)
    • Year and Date
      2014-11-27
    • Related Report
      2014 Annual Research Report
  • [Presentation] On Backtesting Risk Measurement Models2014

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      金融シンポジウム「ファイナンスリスクのモデリングと制御II」
    • Place of Presentation
      学術総合センター(東京都、千代田区)
    • Year and Date
      2014-11-25 – 2014-11-26
    • Related Report
      2014 Annual Research Report
  • [Presentation] [長寿・健康の人口学]長寿・健康の歴史過程と現代的意義2014

    • Author(s)
      金子隆一
    • Organizer
      第569回人口学研究会
    • Place of Presentation
      中央大学後楽園キャンパス(東京都、文京区)
    • Year and Date
      2014-11-15
    • Related Report
      2014 Annual Research Report
  • [Presentation] 公的年金再設計の提案<介護年金制度の導入>2014

    • Author(s)
      田中周二
    • Organizer
      第12回JARIP大会
    • Place of Presentation
      東京大学駒場キャンパス(東京都、目黒区)
    • Year and Date
      2014-11-01
    • Related Report
      2014 Annual Research Report
  • [Presentation] Backtesting Risk Measurement Models2014

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      5th CEQURA Conference on Advances in Financial and Insurance Risk Management
    • Place of Presentation
      Kardinal Wendel Haus, Munich (Germany)
    • Year and Date
      2014-10-01 – 2014-10-02
    • Related Report
      2014 Annual Research Report
  • [Presentation] Monte Carlo Method on pricing Bermudan Derivatives2014

    • Author(s)
      Shigeo Kusuoka
    • Organizer
      NSU-U Tokyo Workshop on Quantative Finance
    • Place of Presentation
      東京大学大学院経済学研究科(東京都、文京区)
    • Year and Date
      2014-09-25
    • Related Report
      2014 Annual Research Report
  • [Presentation] デフォルトリスクに対するGerber-Shiu解析と統計的推測2014

    • Author(s)
      清水泰隆
    • Organizer
      統計関連学会連合大会2014
    • Place of Presentation
      東京大学本郷キャンパス(東京都、文京区)
    • Year and Date
      2014-09-16
    • Related Report
      2014 Annual Research Report
  • [Presentation] 公的年金再設計の提案<介護年金制度の導入>2014

    • Author(s)
      田中周二
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学本郷キャンパス(東京都、文京区)
    • Year and Date
      2014-09-15
    • Related Report
      2014 Annual Research Report
  • [Presentation] 高頻度取引市場における金融時系列間の因果性検証2014

    • Author(s)
      木下 亮, 大屋幸輔
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学本郷キャンパス(東京都、文京区)
    • Year and Date
      2014-09-14 – 2014-09-16
    • Related Report
      2014 Annual Research Report
  • [Presentation] リスク計測モデルのバックテスト法について2014

    • Author(s)
      塚原英敦
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学本郷キャンパス(東京都、文京区)
    • Year and Date
      2014-09-14 – 2014-09-16
    • Related Report
      2014 Annual Research Report
  • [Presentation] [公的パネル統計の展開方向]21世紀縦断調査:日本人のライフコース把握と政策形成への可能性2014

    • Author(s)
      金子隆一
    • Organizer
      経済統計学会第58回全国研究大会
    • Place of Presentation
      京都大学(京都府、京都市)
    • Year and Date
      2014-09-11
    • Related Report
      2014 Annual Research Report
  • [Presentation] Risk Theory(破産理論)のこれまでとこれから2014

    • Author(s)
      清水泰隆
    • Organizer
      JARIP研究会
    • Place of Presentation
      東京海上日動ビル新館15F(東京都、千代田区)
    • Year and Date
      2014-08-21
    • Related Report
      2014 Annual Research Report
  • [Presentation] Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus2014

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      The 18th International congress on Insurance: Mathematics and Economics
    • Place of Presentation
      Shanghai (China)
    • Year and Date
      2014-07-10 – 2014-07-12
    • Related Report
      2014 Annual Research Report
  • [Presentation] Threshold estimation of drift for stochastic processes with small noise2014

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting
    • Place of Presentation
      Howard International House, Taipei (Taiwan)
    • Year and Date
      2014-07-02
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Sampling from smoothed empirical copula2014

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting
    • Place of Presentation
      Howard International House, Taipei (Taiwan)
    • Year and Date
      2014-06-29 – 2014-07-03
    • Related Report
      2014 Annual Research Report
  • [Presentation] Entering the post-demographic transition phase in Japan: its concept, indicators and implications.2014

    • Author(s)
      R. Sato and R. Kaneko
    • Organizer
      Europian Population Conference 2014
    • Place of Presentation
      Budapest ( Hungary)
    • Year and Date
      2014-06-25 – 2014-06-28
    • Related Report
      2014 Annual Research Report
  • [Presentation] [少子化対策のパラダイム転換]少子化の構造と動向-人口統計学の視点から -2014

    • Author(s)
      金子隆一
    • Organizer
      日本人口学会第66回大会公開シンポジウム
    • Place of Presentation
      明治大学 駿河台キャンパス(東京都、千代田区)
    • Year and Date
      2014-06-14
    • Related Report
      2014 Annual Research Report
  • [Presentation] Estimating and Backtesting Distortion Risk Measures2014

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      8th World Congress of the Bachelier Finance Society
    • Place of Presentation
      Brussels( Belgium)
    • Year and Date
      2014-06-02 – 2014-06-06
    • Related Report
      2014 Annual Research Report
  • [Presentation] An analysis of changing intraday patterns by extension of trading hours in Japanese future markets2014

    • Author(s)
      吉田靖,川崎能典
    • Organizer
      日本ファイナンス学会第22回大会
    • Place of Presentation
      中央大学多摩キャンパス(東京都、多摩市)
    • Year and Date
      2014-06-01
    • Related Report
      2014 Annual Research Report
  • [Presentation] The SIML estimation of integrated covariance and hedging coefficient under micro-market noise and random sampling2013

    • Author(s)
      Kunitomo Naoto
    • Organizer
      2013 Asian Meeting of the Econometric Society
    • Place of Presentation
      National University of Singapore (Singapore)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Nonparametric estimation of yield curves with L-spline2013

    • Author(s)
      Kawasaki, Y. ,Horikoshi, Y.
    • Organizer
      7-th International Conference on Computational and Financial Econometrics (CFE 2013)
    • Place of Presentation
      Senate House, University of London ( U.K.)
    • Related Report
      2013 Annual Research Report
  • [Presentation] サーキットブレーカ制度下での商品先物の市場リスク2013

    • Author(s)
      青木義充,川崎能典
    • Organizer
      日本金融・証券計量・工学学会第39回大会
    • Place of Presentation
      明治大学(東京都)
    • Related Report
      2013 Annual Research Report
  • [Presentation] 平滑化スプラインANOVAによるイールドカーブ推定2013

    • Author(s)
      堀越保徳,川崎能典
    • Organizer
      2013年度統計関連学会連合大会
    • Place of Presentation
      大阪大学(豊中市)
    • Related Report
      2013 Annual Research Report
  • [Presentation] 事象系列としての高頻度金融データ:市場制度変更の影響分析2013

    • Author(s)
      川崎能典,吉田靖
    • Organizer
      2013年度統計関連学会連合大会
    • Place of Presentation
      大阪大学(豊中市)
    • Related Report
      2013 Annual Research Report
  • [Presentation] わが国人口の長期展望と課題2013

    • Author(s)
      金子隆一
    • Organizer
      日本学術会議、第2回人口減少が社会の諸システムに及ぼす影響に関する長期展望委員会
    • Place of Presentation
      日本学術会議会議室
    • Related Report
      2013 Annual Research Report
  • [Presentation] わが国の将来人口推計2013

    • Author(s)
      金子隆一
    • Organizer
      日本学術会議、経済学委員会人口変動と経済分科会公開シンポジウム『人口減少と日本社会-ライフコース・社会保障・地域経済の行方-』
    • Place of Presentation
      日本学術会議講堂
    • Related Report
      2013 Annual Research Report
  • [Presentation] 公表データに基づく損保リスクモデル2013

    • Author(s)
      田中周二
    • Organizer
      日本保険年金リスク学会年次大会
    • Place of Presentation
      明治大学リバティホール(東京都)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Caribrating Cairns’positive interest rate model to provide good ESGs for long term investors2013

    • Author(s)
      S,Tanaka
    • Organizer
      2013 Annual APRIA Conference
    • Place of Presentation
      St. John's University ( New York, U.S.A.)
    • Related Report
      2013 Annual Research Report
  • [Presentation] 経済価値ベースの保険プライシングの理論的整理と討論2013

    • Author(s)
      田中周二
    • Organizer
      日本アクチュアリー会年次大会 セッションD「プライシングに関するリスクマージンの課題(実務と考え方)」
    • Place of Presentation
      東京ステーションホテル(東京都)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Estimating and Backtesting Distortion Risk Measures2013

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      The 2013 IMS-FPS Workshop
    • Place of Presentation
      National University of Singapore (Singapore)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Estimating and Backtesting Distortion Risk Measures2013

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      Conference "Stochastic processes & their statistics in Finance"
    • Place of Presentation
      沖縄県青年会館(沖縄県)
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Backtesting Distortion Risk Measures2013

    • Author(s)
      塚原英敦
    • Organizer
      2013年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2013」
    • Place of Presentation
      大阪大学中之島センター(大阪市)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Smoothing out pseudo-observations for copula models2013

    • Author(s)
      Hideatsu Tsukahara
    • Organizer
      7th International Conference on Computational and Financial Econometrics (CFE-ERCIM 2013)
    • Place of Presentation
      Senate House, University of London (U.K.)
    • Related Report
      2013 Annual Research Report
  • [Presentation] On a generalization from ruin to default in Lévy insurance risks,2013

    • Author(s)
      清水泰隆
    • Organizer
      第2回金融シンポジウム
    • Place of Presentation
      統計数理研究所(東京都)
    • Related Report
      2013 Annual Research Report
  • [Presentation] 保険数理における離散観測モデルと最近の動向2013

    • Author(s)
      清水泰隆
    • Organizer
      2013年度統計関連学会連合大会
    • Place of Presentation
      大阪大学(豊中市)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Threshold estimation for stochastic differential equations with jumps2013

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      59th ISI World Statistics Congress
    • Place of Presentation
      Hong Kong Convention and Exhibition Centre (China)
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Edgeworth type expansion for renewal-type equations and applications to risk theory2013

    • Author(s)
      Yasutaka Shimizu
    • Organizer
      The 17th International congress on Insurance: Mathematics and Economics,
    • Place of Presentation
      University of Copenhagen (Denmark)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Decreasing Trends in Stock-BondCorrelations2013

    • Author(s)
      沖本竜義
    • Organizer
      2013年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2013」
    • Place of Presentation
      大阪大学中之島センター(大阪市)
    • Related Report
      2013 Annual Research Report
  • [Book] 『経済リスクの統計学の新展開 :稀な事象と再起的事象2016』2017

    • Author(s)
      国友直人・大森裕浩共編
    • Total Pages
      236
    • Publisher
      東京大学経済学研究科日本経済国際共同研究センター
    • Related Report
      2016 Annual Research Report
  • [Book] 『統計学』2016

    • Author(s)
      国友 直人、久保川達也
    • Total Pages
      346
    • Publisher
      東京大学出版会
    • Related Report
      2016 Annual Research Report
  • [Book] 応用を目指す数理統計学2015

    • Author(s)
      国友直人
    • Total Pages
      222
    • Publisher
      朝倉書店
    • Related Report
      2015 Annual Research Report
  • [Book] Advances in Mathematical Economics vol.192015

    • Author(s)
      S.Kusuoka, M.Maruyama ed.(S. Kusuoka and Y. Morimoto)
    • Total Pages
      138
    • Publisher
      Springer
    • Related Report
      2014 Annual Research Report
  • [Book] フィナンシャルERM2014

    • Author(s)
      P.スウィーティング著, 松山直樹 他, 共訳(田中周二 分担執筆)
    • Total Pages
      479
    • Publisher
      朝倉書店
    • Related Report
      2014 Annual Research Report
  • [Book] Advances in Mathematical Economics vol.182014

    • Author(s)
      S.Kusuoka, M.Maruyama ed.(S. Kusuoka and Y. Morimoto)
    • Total Pages
      142
    • Publisher
      Springer
    • Related Report
      2014 Annual Research Report
  • [Book] CIRJE報告書 R-17 経済リスクの統計学の新展開2013:稀な事象と再起的事象2014

    • Author(s)
      国友直人・川崎能典 共編
    • Total Pages
      152
    • Publisher
      株式会社ミイレー
    • Related Report
      2013 Annual Research Report
  • [Book] Advances in Mathematical Economics Vol.182014

    • Author(s)
      S.Kusuoka, M.Maruyama
    • Total Pages
      113
    • Publisher
      Springer
    • Related Report
      2013 Annual Research Report
  • [Funded Workshop] 経済リスクの統計学の新展開:稀な事象と再起的事象20152015

    • Place of Presentation
      東京大学(東京都文京区)
    • Year and Date
      2015-12-18
    • Related Report
      2015 Annual Research Report

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Published: 2013-05-15   Modified: 2019-07-29  

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