New Developments in Statistics of Economic Risk and Financial Risk

2016 Fiscal Year Final Research Report

• Project/Area Number: 25245033
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Meiji 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)
• 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
• 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

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).

Free Research Field

経済統計学