2012 Fiscal Year Final Research Report
Bayesian modeling for actuary and finance
| Project/Area Number |
20243017
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Keio University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
SUGITA Katsuhiro 琉球大学, 法文学部, 准教授 (50377058)
TANIZAKI Hisashi 大阪大学, 経済学研究科(研究院), 教授 (60248101)
KOGURE Atsuyuki 慶應義塾大学, 総合政策学部, 教授 (80178251)
ASAI Manabu 創価大学, 経済学部, 教授 (90319484)
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| Project Period (FY) |
2008 – 2012
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| Keywords | 経済統計学 / ベイズ分析 / アクチュアリー / ファイナンス / リスク分析 |
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| Research Abstract |
In this research project, we studied new Bayesian methods for quantitative riskassessments in actuary and finance. We achieved satisfactory results in modeling therisk of losses related to internal mishandling in financial institutions (operationalrisk)
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