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Math-Fi seminar on 15 Nov.

2018.11.13 Tue up
  • Date: 15 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Akihiro Tanaka (Osaka University, Sumitomo Mitsui Banking Corporation)
  • Title: Introduction to xVA:Remark on arbitrage free condition.
 

Math-Fi seminar on 8 Nov.

2018.11.07 Wed up
  • Date: 8 Nov. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Tadashi Ono (University of Tsukuba)
  • Title: TBA

Math-Fi seminar on 25 Oct.

2018.10.23 Tue up
  • Date: 25 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room


  • Time: 16:30-16:50
  • Speaker: Masahiro Kinuya (Ritsumeikan University)
  • Title: Euler-Maruyama type approximation of stochastic PDEs by orthogonal random variables
​
  • ​Time: 16:50-17:10
  • Speaker: Yuta Nakamura (Ritsumeikan University)
  • Title: Approximation of Heston model by a lattice on 3-dimensional Heisenberg group
​
  • Time: 17:10-17:30
  • Speaker: Yuki Semba (Ritsumeikan University)
  • Title: Polya Urn Binomial Model for Option Price
​
  • Time: 17:30-17:50
  • Speaker: Tsuyoshi Kinoshita (Ritsumeikan University)
  • Title: Default Contagion with Domino Effect as a Point Process
​
  • Time: 17:50-18:10
  • Speaker: Shuji Tamada (Ritsumeikan University)
  • Title: Thermodynamic Approach to Whole-Life Insurance: An Evaluation Method of Surrender Risk
 

Math-Fi seminar on 27 Sep., 4 Oct. and 11 Oct.

2018.09.25 Tue up
  • Date:  27 Sep. (Thu.), 4 Oct. (Thu.) and 11 Oct. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Ying Jiao (Université Claude Bernard Lyon 1)
  • Title: CIR models with jumps
  • Abstract:
​The first one will be on affine interest rate models with Brownian diffusion including CIR and Vacisek models, the second one will start with the jumps and introduce some basic notions about CBI processes, in relation with the general affine jump diffusion models, the third and last part will be the research lecture on the so-called alpha-CIR model.
 

Math-Fi seminar on 20 Sep.

2018.09.18 Tue up
  • Date: 20 Sep. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Libo Li (University of New South Wales)
  • Title: On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
  • Abstract:
​We propose a positivity preserving implicit Euler-Maruyama scheme for a jump-extended Cox-Ingersoll-Ross (CIR) process where the jumps are governed by compensated spectrally positive alpha-stable process for alpha belonging to (1,2). Different to the existing positivity preserving numerical schemes for jump-extended CIR or CEV models, the model considered here has infinite activity jumps. We calculate, in this specific model, the strong rate of convergence and give some numerical illustrations. Jump extended models of this type were initially studied in the context of branching processes and was recently introduced to the financial mathematics literature to model sovereign interest rates, power and energy markets.
 

Math-Fi seminar on 13 Sep.

2018.09.10 Mon up
  • Date: 13 Sep. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 15:00-18:00
  • Speaker: Libo Li (University of New South Wales)
  • Title: multivariate analysis

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.

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