2012 Fiscal Year Final Research Report
Statistical and stochastic methods toward the risk management of catastrophic disasters -- application of heavy tailed distributions to the insurance --
| Project/Area Number |
23800065
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Statistical science
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| Research Institution | Nanzan University |
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Principal Investigator |
MATSUI Muneya 南山大学, 経営学部, 准教授 (70449031)
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| Project Period (FY) |
2011 – 2012
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| Keywords | ポアソン / クラスター / モデル / ポアソン過程 / レヴィ過程 / 損害保険 / 予測 |
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| Research Abstract |
We extended the Poisson cluster process (model) and derived the predictors and their mean squired errors for the future values of the process based on the past observations. We obtained analytical expressions of these quantities in order to apply the method to e.g. the claims reversing problems in the non-life insurance. The result and other related results have been published in three peer-reviewed journals respectively.
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