2011 Fiscal Year Final Research Report
Optimal intertemporal risk allocation with applications to finance and insurance
| Project/Area Number |
20340015
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
|
|---|
| Research Institution | Hiroshima University (2009-2011)
Hokkaido University (2008) |
|---|
Principal Investigator |
INOUE Akihiko 広島大学, 大学院・理学研究科, 教授 (50168431)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
IWATA Koichiro 広島大学, 大学院・理学研究科, 准教授 (20241292)
KASAHARA Yukio 北海道大学, 大学院・理学研究院, 非常勤講師 (10399793)
|
|---|
| Project Period (FY) |
2008 – 2011
|
| Keywords | 確率論 / 確率過程 / 記憶 / 予測理論 / 数理ファイナンス / リスク |
|---|
| Research Abstract |
Inoue, Nakano and Fukuda obtained various results on the intertemporal risk allocation. In the case of exponential utility, they found that the premium principle thus obtained becomes time-consistent when viewed as a dynamic risk measure. Inoue introduced the equilibrium for the intertemporal risk allocation, and extended the Buhlmann and Esscher principles to this case. Inoue and Kasahara extended the prediction-theoretic method for the analysis of dynamic dependence structure, which had been developed only in the one-dimensional case, to the multivariate case. More precisely, they took the fundamental case of discrete-time processes, and extended various results in the one-dimensional case to the multivariate case.
|
