セミナー

Math-Fi seminar on 26 Jul.

2018.07.12 Thu up
  • Date: July 26 (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Xiaoshan Su (EMLYON Business School)
  • Title: Some interesting insurance work: Distribution Choice in Non-life Insurance Risk Model with Statistical Learning Method & Optimal Insurance under Third Degree Risk
(Xiaoshan Su emlyon business school)
  • Abstract: 
​The former work treats a distribution selection problem as a classification problem for claim frequency and claim severity in non-life insurance risk model, and trains machine learning classifier to predict most likely distribution for real data. The training of classifier uses a simulation training sample that is generated under a two-level hierarchical structure. The first level is to generate enough pieces of parameter sets for all competitive distributions, and for each piece of parameter set in each distribution, the second level is to simulate a large size of sample and compute the respective values of descriptive statistic variables, which forms a record of training sample by combination with the corresponding distribution label. Then, the cross-validation method compares the performance of commonly used classifiers, including decision tree, k-nearest neighbour classifier, neural network, support vector classifier, bagging, boosting and random forest, etc. Both of numerical experiments and empirical studies show decision tree and bagging, boosting and random forest that use decision tree as weak learners, perform better than other classifiers and also than traditional fitting measures. The latter work investigates the optimal insurance design of considering a wide coverage of insured including risk-averter and risk-lovers, by assuming that the insured is third degree risk averse. Under expected value premium principle, we show that the optimal insurance form is a change-loss insurance or a dual change-loss insurance, which depends on the coefficient-variance of the ceded loss. The insurer with a mean-variance preference has a strong motive to issue these two kinds of insurance contracts.

Math-Fi seminar on 19 Jul.

2018.07.10 Tue up
  • Date: July 19 (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 15:30-16:30 (First speaker), 16:30-17:30 (Second speaker), 17:30-19:00 (Third speaker) 
 

 First speaker: Xiaoshan Su (EMLYON Business School)
  • Title: Pricing Defaultable Participating Contracts with Regime Switching and Jump Risk
(Xiaoshan Su emlyon business school Joint work with Professor Olivier Le Courtois and Professor Francois Quittard Pinon)
  • Abstract:
This paper provides a regime switching jump diffusion framework for pricing defaultable participating life insurance contracts. This framework assumes the value of underlying asset portfolio evolves as a geometric regime switching double exponential jump diffusion and default happens when its value crosses a level with regard to initial policyholder premium. The flexible regime switching double exponential jump diffusion model gives the semi-closed form formula for the price of the life insurance contract and the price can be obtained by further computation using numerical two-sided Laplace inversion method. The Euler summation technique is used to speed up the convergence rate of two-dimensional Laplace inversion method in Cai and Shi (2015) and the ”worst state” is defined to help control the discretion and truncation errors of numerical two-sided Laplace inversion in the regime switching case. An illustration concludes the paper and addresses the respective impacts of different risk sources on the price of the life insurance contracts.


 
 Second speaker: Arturo Kohatsu-Higa (Ritsumeikan University)
  • Title: The fundamentals of the ibp formula
     
 
 Third speaker: Linghua Chen (Analyst; Greenfact AS, Oslo, Norway)
  • Title: Numerical path integration methods to SDEs and applications

Math-Fi seminar on 12 Jul.

2018.07.10 Tue up
  • Date: July 12 (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Xiaoshan Su (EMLYON Business School)
  • Title: Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
(Xiaoshan Su emlyon business school Joint work with Professor Olivier Le Courtois)
  • Abstract:
In this article, we construct a structural model with jumps and regime switching to price banks’ contingent convertible debt (CoCos) and deposit insurance. We use an Esscher transform that is applicable to regime switching double exponential jump diffusions to move from the historical world to the risk-neutral world. Further, we define and implement a matrix Wiener-Hopf factorization associated with the latter processes, allowing us to price the various components of a bank’s balance sheet. Thus, we obtain valuation formulas for the bank’s equity, debt, deposits, CoCos, and deposit insurance. We also show in an illustration the respective effects of the jump risk and of regime switching on the values of all of a bank’s balance sheet components.

2018年7月3日(火)立命館大学幾何学セミナー

2018.06.26 Tue up
<<立命館大学幾何学セミナー>>

日時:        2018年7月3日(火) 15:00~16:00

タイトル:   Recent progress in the Delzant classification of almost-toric systems

講演者:    Christophe Wacheux (IBS Center for Geometry and Physics, POSTECH)

アブストラクト:
Almost-toric systems are a special class of integrable Hamiltonian systems with properties of almost-periodicity of the flow (all but one component of the moment map yield a circle action), and restriction on the nature of the singularities (only elliptic and focus-focus singularities are authorized). 
In this talk, I will explain the classification program for these systems that started almost ten years ago, and the progress that have been made until very recently.

場所:         立命館大学びわこ・くさつキャンパス(BKC)
              ウェストウィング6階談話会室

Math-Fi seminar on 28 Jun.

2018.06.26 Tue up
  • Date: 28 Jun. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Takahiro Tsuchiya (University of Aizu)
  • Title: Newton-Kantorovitch method for non-Markov and decoupled forward-backward stochastic differential equations
  • Abstract:
Newton 法はよく知られているように滑らかな実数値関数$f$ について $ f(x)=0 $ を満たす解 $x$の近似列の構成を明示的に与える.
その近似列の well-defined および,解への収束は Kantorovitchによって特徴づけられ,さらに一般の Banach 空間に値を取る作用素 にまで拡張された.
そして常微分方程式への応用は Chaplyginが行い,Vidossichが整備している.
加えて確率微分方程式への拡張,さらにその収束が時刻に関して一様であることは川端山田によってはじめて示された.
後ろ向きの方程式が絡む forward-backward stochastic differential equations (FBSDEs)では解の可解性は局所的に与える,
もしくは特定の条件を付与する必要があり,多くの貢献があるにもかかわらず,十分に解明されたというのは言い難い状況にある.
本講演ではランダムな係数を持つ decoupled FBSDEs における Newton-Kantorovitch法の構成と一様収束について報告する.
 

Math-Fi seminar on 14 Jun.

2018.06.11 Mon up
  • Date: 14 Jun. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Ryuya Namba (Okayama University)
  • Title: A functional central limit theorem for non-symmetric random walks on nilpotent covering graphs
  • Abstract:
べき零群を被覆変換群とするような有限グラフの被覆グラフのことを
べき零被覆グラフと呼ぶ。結晶格子(被覆変換群がアーベル群の場合)
上のランダムウォークに関しては既に多くの極限定理が離散幾何解析
の枠組みで得られている。本講演では、べき零被覆グラフ上の非対称
ランダムウォークを考察し汎関数中心極限定理を考察し、スケール極限
として捉えたあるべき零Lie群値の拡散過程に、ランダムウォークの
非対称性からくるドリフト項が現れることを報告する。また、この
ドリフト項がグラフの実現写像のambiguityによらず定まるという
驚くべき事実も得たので、これについても講演内で触れる予定である。
時間が許せば、ラフパス理論との関連および証明の概略についても
話したい。本講演の内容は、石渡 聡氏(山形大)および河備 浩司氏(慶應大)
との共同研究に基づく。

Math-Fi seminar on 7 Jun.

2018.06.04 Mon up
  • Date: 7 Jun. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Jiro Akahori (Ritusmeikan University)
  • Title:  An Introduction to Discrete Stochastic Calculus

Math-Fi seminar on 31 May

2018.05.29 Tue up
  • Date: 31 May (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Daisuke Shiraishi (Kyoto University)
  • Title: Natural parametrization for loop-erased random walk in three dimensions

Math-Fi seminar on 24 May

2018.05.21 Mon up
  • Date: 24 May (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Benjamin Poignard (Osaka University)
  • Title: Non-Asymptotic Properties of Regularized Multivariate ARCH models
  • Abstract:
We provide finite sample properties of regularized multivariate ARCH processes, where the linear representation of ARCH models allows for an ordinary least square estimation. Under the restricted strong convexity of the unpenalized loss function, regularity conditions on the regularizer, strict stationary and beta-mixing process, we prove non-asymptotic error bounds on the regularized ARCH estimators. Moreover, based on the primal-dual witness method, we establish variable selection consistency, including the case when the regularizer is non-convex. These theoretical results are supported by simulation studies. 

2018年5月11日(金)立命館大学幾何学セミナー

2018.05.01 Tue up
<<立命館大学幾何学セミナー>>

日時:        2018年5月11日(金) 16:30~18:00

タイトル:    等長変換群の存在を妨げる幾何学量について

講演者:     友田 健太郎 (大阪市立大学)

アブストラクト:
ハミルトン形式の解析力学や一般相対論をあつかうとき, 過剰決定系の偏微分方程式に遭遇することがある.
例えば,リーマン多様体を特徴付けている対称性は何かという問から, キリング方程式と呼ばれる偏微分方程式が現れるが, これは過剰決定系の典型である.
こうした過剰決定系のなかでも,有限型に分類される系は, 解空間の有限次元性が保証されるなど, 偏微分方程式でありながら常微分方程式に近い性質をもつ.
本講演では,過剰決定系の偏微分方程式を考える動機について概説した後,キリング方程式の諸性質を議論する.
特に,キリング方程式の解の存在を妨げる幾何学量を紹介する.
また,こうした幾何学量を用いて,キリング方程式の解空間の次元を代数的に決定する「試験法」を紹介する.
本講演の内容は,Boris Kruglikov(トロムソ大学)とVladimir Matveev(イェーナ大学)との共同研究に基づく.

場所:         立命館大学びわこ・くさつキャンパス(BKC)
              ウェストウィング6階談話会室