2012 Fiscal Year Final Research Report
Social effect analysis on securitization of risk and its optimal management from an engineering viewpoint
| Project/Area Number |
21560066
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Engineering fundamentals
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| Research Institution | Kyoto University |
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Principal Investigator |
TANAKA Hiroaki 京都大学, 大学院・情報学研究科, 准教授 (90217068)
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| Project Period (FY) |
2009 – 2012
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| Keywords | リスク解析 / リスク証券化 / 確率モデル / 高速シミュレーション / 最適管理方策 / 確率微分方程式 |
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| Research Abstract |
In this study, we have theoretically discussed the effect of securitization of risks and optimal control of such risks including the effect of their securitization and risk managements. Our method is based upon extended stochastic systems having a very wide applicability for describing phenomena associated with objective risks. Further, we have developed a fast simulation scheme for quantifying risksand a method for optimal management of risks based upon the stochastic control theory, mainly from engineering viewpoints. Our basic approach has been applied to some practical problems to demonstrate the efficiency of our study .
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