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- KOIKE Takaaki
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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 |
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| 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 
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| 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
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| 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
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| 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
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| 7. | Estimation of risk contributions with MCMC (Peer-reviewed) Takaaki Koike, Mihoko Minami Quantitative Finance Vol.19,No.9,pp.1579-1597 2019.9
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| 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
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| 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
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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 |
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| 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
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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 |
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| 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 |
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| 3. | Joint mixability and negative orthant dependence(Academic Speech at Department of Statistics, Feng Chia University) |
Holding date :
Presentation date : 2022.11.16 |
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| 4. | Joint mixability and negative orthant dependence(Advances in Copula Theory) |
Holding date :
2022.9.17 Presentation date : 2022.9.16 |
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| 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 |
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| 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 |
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| 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 |
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| 8. | Tail probability assessment based on copulas(Statistical Mathematics Seminar) |
Holding date :
Presentation date : 2022.1.12 |
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| 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 |
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| 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 |
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| 11. | Tail concordance measures: A fair assessment of tail dependence(Wednesday seminar at Keio University) |
Holding date :
Presentation date : 2021.4.21 |
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| 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 |
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| 13. | Beyond the tail dependence coefficients(The Joint Webinar by JARIP and IAJ) |
Holding date :
Presentation date : 2021.2.13 |
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| 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 |
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| 15. | Compatibility of matrices for correlation-based measures of concordance(CFE-CMStatistics) |
Holding date :
Presentation date : 2019.12 |
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| 16. | Compatibility and attainability of matrices for correlation-based measures of concordance(Japanese Joint Statistical Meeting) |
Holding date :
Presentation date : 2019.9 |
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| 17. | Compatibility of matrices for correlation-based measures of concordance(Wednesday seminar at Keio University) |
Holding date :
Presentation date : 2019.5 |
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| 18. | Compatibility of matrices for correlation-based measures of concordance(3rd SAS/WatRISQ Research Presentation Day) |
Holding date :
Presentation date : 2019.2 |
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| 19. | Computation of risk contributions with MCMC on VaR-fiber(Japanese Joint Statistical Meeting) |
Holding date :
Presentation date : 2016.9 |
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| 20. | Efficient computation of risk contributions by using MCMC(Keio Symposium on Risk Assessment) |
Holding date :
Presentation date : 2016.9 |
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| 21. | Efficient computation of risk contributions by using MCMC(Boston University/Keio University workshop) |
Holding date :
Presentation date : 2016.8 |
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| 22. | Rearrangement Algorithm in Financial Risk Assessment and its problems(Japan Statistical Meeting in Spring) |
Holding date :
Presentation date : 2016.3 |
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 |
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
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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 |
