2019 Fiscal Year Final Research Report
A study on practical application of real option approach by the use of a fast simulation technique
| Project/Area Number |
15K00039
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Mathematical informatics
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| Research Institution | Kansai University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2020-03-31
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| Keywords | リアルオプション / 確率制御理論 / 高速モンテカルロ法 / 重点サンプリング法 / リスク工学 / 保守管理 / シミュレーション工学 |
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| Outline of Final Research Achievements |
A new framework has been constructed for describing a real option approach by the use of the stochastic control theory, where an original fast Monte Carlo simulation technique based upon a mathematical procedure of probability measure transformation is incorporated for effectively reducing numerical efforts. In addition to our main subject, some probabilistic models have been newly developed in consideration of application to practical problems in order to apply to our framework, which can be expected to lead to wide applicability in related fields.
Further, in order to verify an applicability of our approach, it has been applied to a maintenance problem for infrastructures including ART (Alternative Risk Transfer) as a risk management technique. The result shows that an optimal solution of the problem can be obtained with high accuracy with effectively reduced computing efforts.
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| Free Research Field |
応用確率論，リスク工学
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| Academic Significance and Societal Importance of the Research Achievements |
本研究の意義は，近年非常に盛んに研究されているリスク数量化の新しい試みをリアルオプション問題に取り入れた際に生ずる数値計算上の困難さを克服する新たなアプローチを構築したことにある．巨大地震リスクなどの発生損失の極めて大きなリスク管理問題では代替的リスク移転（ART）が非常に重要な役割を演ずるが，超低頻度かつ超巨大損失型のARTでは極めて微小な生起確率の精度良い評価を実現し，かつ確率制御問題の数値的最適解を導出する必要があり，こういった問題に対して新たに極めて有効な数値解析アプローチを確立できたことは極めて意義深いと考えられる．
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