Seminars

Math-Fi seminar on 11 Sep.

2018.09.10 Mon up
  • Date: 11 Sep. (Tue.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 14:00-
  • Speaker: Arturo Kohatsu-Higa (Ritsumeikan University)
  • Title: regression analysis

Math-Fi seminar on 30 Aug.

2018.08.29 Wed up
  • Date: 30 Aug. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Makoto Yamazato (Tokyo Woman’s Christian University)
  • Title: Boundedness of the densities of CME-subordinators

Math-Fi seminar on 23 Aug.

2018.08.20 Mon up
  • This seminar was canceled.

Math-Fi seminar on 26 Jul.

2018.07.12 Thu up
  • Date: 26 Jul. (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: 19 Jul. (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:12 Jul. (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.

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

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

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

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