| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Outline of Final Research Achievements |
We constructed a risk measure based on the ruin probability and the Gerber-Shiu function, which is a generalization of the ruin probability, under the surplus model by stochastic differential equation with jumps. In particular, we considered “dynamic” risk measures in order to measure risks that varies in time with their mathematical justification. Next, we investigated a mortality prediction model for the purpose of including a mortality risk into our risk measure. We proposed a new methodology to improve the small area estimation of mortality by applying Credibility Theory. However the performance of the method is not satisfactory and we will leave it as a future work. Furthermore we investigated the statistical inference for the Gerber-Shiu function, which is necessary for application of risk measures in practice.
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