Graduate School of Economics
KOIKE Takaaki

Papers

1. Measuring non-exchangeable tail dependence using tail copulas (Peer-reviewed)
Takaaki Koike, Shogo Kato, Marius Hofert
ASTIN Bulletin - The Journal of the International Actuarial Association 2023
2. Comparison of Correlation-based Measures of Concordance in terms of Asymptotic Variance (Peer-reviewed)
Takaaki Koike, Marius Hofert
Journal of Multivariate Analysis 2023
3. Matrix compatibility and correlation mixture representation of generalized Gini's gamma (Peer-reviewed)
Takaaki Koike, Marius Hofert
Canadian Journal of Statistics 2022.12
doi Link Link
4. Avoiding zero probability events when computing Value at Risk contributions (Peer-reviewed)
Takaaki Koike, Yuri Saporito, Rodrigo Targino
Insurance: Mathematics and Economics Vol.106,pp.173-192 2022.9
doi
5. Modality for scenario analysis and maximum likelihood allocation (Peer-reviewed)
Takaaki Koike, Marius Hofert
Insurance: Mathematics and Economics Vol.97,pp.24-43 2021.3
doi
6. Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations (Peer-reviewed)
Takaaki Koike, Marius Hofert
Risks Vol.8,No.1,pp.6 2020.1
doi Link
7. Estimation of risk contributions with MCMC (Peer-reviewed)
Takaaki Koike, Mihoko Minami
Quantitative Finance Vol.19,No.9,pp.1579-1597 2019.9
doi Link
8. COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE (Peer-reviewed)
Marius Hofert, Takaaki Koike
ASTIN Bulletin Vol.49,No.03,pp.885-918 2019.9
doi Link
9. Calculation of Value-at-Risk Bounds using Rearrangement Algorithm (Peer-reviewed)
Takaaki Koike, Mihoko Minami, Hiroshi Shiraishi
Japanese Journal of the Japan Statistical Society Vol.45,No.2,pp.353-375 2016
doi Link

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Misc.

1. Joint mixability and negative orthant dependence
Takaaki Koike, Liyuan Lin, Ruodu Wang
arXiv Vol.arXiv:2204.11438,pp.1-40 2022.4
2. Discussion of tail dependence measures using tail copulas
Takaaki Koike
The Institute of Statistical Mathematics Cooperative Research Report 454, Extreme Value Theory and Applications (19) pp.11-16 2022.3
3. Risk Analysis: Measures of concordance, their compatibility and capital allocation
Takaaki Koike
UWSpace 2020.8
Link

Presentations

No. Name of subject/Conference Name Year Site
1. Measuring non-exchangeable tail dependence using tail copulas(Economic Statistics Workshop at Hitotsubashi University)
Holding date :
Presentation date : 2022.12.16
2. Measuring non-exchangeable tail dependence using tail copulas(Academic Speech at Department of Statistics, Feng Chia University)
Holding date :
Presentation date : 2022.11.16
3. Joint mixability and negative orthant dependence(Academic Speech at Department of Statistics, Feng Chia University)
Holding date :
Presentation date : 2022.11.16
4. Joint mixability and negative orthant dependence(Advances in Copula Theory)
Holding date : 2022.9.17
Presentation date : 2022.9.16
5. Joint Mixability and Negative Orthant Dependence(57th JAFEE (The Japanese Association of Financial Econometrics and Engineering) Summer Meeting)
Holding date : 2022.8.19 - 2022.8.20
Presentation date : 2022.8.19
6. Simulation of completely mixable distributions and its application to variance reduction(16th Japan Statistical Society Spring Meeting)
Holding date : 2022.3.5
Presentation date : 2022.3.5
7. Tail concordance measures: A fair assessment of tail dependence(ISI-ISM-ISSAS Joint Conference 2022)
Holding date : 2022.1.13 - 2022.1.15
Presentation date : 2022.1.13
8. Tail probability assessment based on copulas(Statistical Mathematics Seminar)
Holding date :
Presentation date : 2022.1.12
9. Tail concordance measures: A fair assessment of tail dependence(Japanese Joint Statistical Meeting)
Holding date : 2021.9.5 - 2021.9.9
Presentation date : 2021.9.8
10. Measuring asymmetric tail dependence using tail copulas(Extreme Value Theory and Applications)
Holding date : 2021.8.16 - 2021.8.26
Presentation date : 2021.8.16
11. Tail concordance measures: A fair assessment of tail dependence(Wednesday seminar at Keio University)
Holding date :
Presentation date : 2021.4.21
12. Tail concordance measures: A fair assessment of tail dependence(Weekly seminars on Risk Management and Actuarial Science at University of Waterloo)
Holding date :
Presentation date : 2021.4.7
13. Beyond the tail dependence coefficients(The Joint Webinar by JARIP and IAJ)
Holding date :
Presentation date : 2021.2.13
14. Estimation and Comparison of Correlation-based Measures of Concordance(Weekly seminars on Risk Management and Actuarial Science at University of Waterloo)
Holding date :
Presentation date : 2020.7.16
15. Compatibility of matrices for correlation-based measures of concordance(CFE-CMStatistics)
Holding date :
Presentation date : 2019.12
16. Compatibility and attainability of matrices for correlation-based measures of concordance(Japanese Joint Statistical Meeting)
Holding date :
Presentation date : 2019.9
17. Compatibility of matrices for correlation-based measures of concordance(Wednesday seminar at Keio University)
Holding date :
Presentation date : 2019.5
18. Compatibility of matrices for correlation-based measures of concordance(3rd SAS/WatRISQ Research Presentation Day)
Holding date :
Presentation date : 2019.2
19. Computation of risk contributions with MCMC on VaR-fiber(Japanese Joint Statistical Meeting)
Holding date :
Presentation date : 2016.9
20. Efficient computation of risk contributions by using MCMC(Keio Symposium on Risk Assessment)
Holding date :
Presentation date : 2016.9
21. Efficient computation of risk contributions by using MCMC(Boston University/Keio University workshop)
Holding date :
Presentation date : 2016.8
22. Rearrangement Algorithm in Financial Risk Assessment and its problems(Japan Statistical Meeting in Spring)
Holding date :
Presentation date : 2016.3

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Awards

No. Award name Year
1. Sprott Scholarship 2020.7
2. Statistics and Actuarial Science Chair Award 2018.11
3. Statistics and Actuarial Science Chair Award 2018.3
4. Teaching Assistant Award 2018.2
5. Statistics and Actuarial Science Doctoral Entrance Award 2017.9
6. Outstanding Student Presentation Award 2016.3
7. Fujiwara Award 2015.9

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Research Projects

No. Research subject Research item(Awarding organization, System name) Year
1. 多次元リスクの資本分配と従属性の研究
若手研究
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 若手研究 )
2021.4 - 2025.3