清水 泰隆

研究成果

年別の研究成果 2006 2006 2009 2012 2013 2014 2017 2018 2022 2023 2023

• 32 Article
• 1 Review article

年別の研究成果

年別の研究成果

検索結果

• 2023

  Threshold estimation for jump-diffusions under small noise asymptotics

  Kobayashi, M. & Shimizu, Y., 2023, (Accepted/In press) In: Statistical Inference for Stochastic Processes.

  研究成果: Article › 査読

  Open Access

  • Jump Diffusion 100%
  • Compound Poisson Process 48%
  • Quasi-likelihood 47%
  • Wiener Process 42%
  • Truncation 36%
• 2022

  Asymptotic inference for stochastic differential equations driven by fractional Brownian motion

  Nakajima, S. & Shimizu, Y., 2022, (Accepted/In press) In: Japanese Journal of Statistics and Data Science.

  研究成果: Article › 査読

  • Asymptotic Inference 100%
  • Fractional Brownian Motion 74%
  • Stochastic Differential Equations 61%
  • Parametric Estimation 46%
  • Volatility 39%

• Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions

  Nakajima, S. & Shimizu, Y., 2022 8月, In: Statistics and Probability Letters. 187, 109476.

  研究成果: Article › 査読

  • Fractional Brownian Motion 100%
  • Stochastic Differential Equations 92%
  • Asymptotic Normality 92%
  • Least Squares 74%
  • Estimator 55%

• Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise

  Kobayashi, M. & Shimizu, Y., 2022 7月, In: Japanese Journal of Statistics and Data Science. 5, 1, p. 217-240 24 p.

  研究成果: Article › 査読

  • Least Squares Estimator 100%
  • Stochastic Differential Equations 82%
  • Euler's method 56%
  • Estimator 28%
  • Increment 23%
  1 被引用数 (Scopus)

• Parameter estimation of stochastic differential equation driven by small fractional noise

  Nakajima, S. & Shimizu, Y., 2022, In: Statistics. 56, 4, p. 919-934 16 p.

  研究成果: Article › 査読

  • Stochastic Differential Equations 100%
  • Parameter Estimation 86%
  • Coefficients 55%
  • Fractional Brownian Motion 53%
  • Fractional 53%
• 2021

  Why Does a Human Die? A Structural Approach to Cohort-Wise Mortality Prediction under Survival Energy Hypothesis

  Shimizu, Y., Minami, Y. & Ito, R., 2021 1月, In: ASTIN Bulletin. 51, 1, p. 191-219 29 p.

  研究成果: Article › 査読

  Open Access

  • Structural Approach 100%
  • Cohort 86%
  • Mortality 73%
  • Prediction 64%
  • Energy 60%
• 2019

  Asymptotically normal estimators of the ruin probability for lévy insurance surplus from discrete samples

  Shimizu, Y. & Zhang, Z., 2019 6月, In: Risks. 7, 2, 37.

  研究成果: Article › 査読

  Open Access

  • Ruin Probability 100%
  • Probability of Ruin 68%
  • Surplus 60%
  • Estimator 55%
  • Insurance 52%
  8 被引用数 (Scopus)
• 2018

  Dynamic risk measures for stochastic asset processes from ruin theory

  Shimizu, Y. & Tanaka, S., 2018 9月 1, In: Annals of Actuarial Science. 12, 2, p. 211-232 22 p.

  研究成果: Article › 査読

  • Ruin Theory 100%
  • Dynamic Risk Measures 92%
  • Risk Measures 70%
  • Solvency 61%
  • Expected Discounted Penalty Function 48%
  2 被引用数 (Scopus)

• Estimation of a Concordance Probability for Doubly Censored Time-to-Event Data

  Hayashi, K. & Shimizu, Y., 2018 12月 1, In: Statistics in Biosciences. 10, 3, p. 546-567 22 p.

  研究成果: Article › 査読

  • Concordance 100%
  • Estimator 48%
  • Weight 43%
  • Left Censoring 42%
  • Right Censoring 34%

• Parametric inference for ruin probability in the classical risk model

  Oshime, T. & Shimizu, Y., 2018 2月, In: Statistics and Probability Letters. 133, p. 28-37 10 p.

  研究成果: Article › 査読

  • Classical Risk Model 100%
  • Parametric Inference 86%
  • Ruin Probability 84%
  • Asymptotic Variance 81%
  • Inference 49%
• 2017

  Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus

  Shimizu, Y. & Zhang, Z., 2017 5月 1, In: Insurance: Mathematics and Economics. 74, p. 84-98 15 p.

  研究成果: Article › 査読

  • Gerber-Shiu Function 100%
  • Estimating Function 70%
  • Surplus Process 55%
  • Surplus 49%
  • Estimator 45%
  27 被引用数 (Scopus)

• Least squares estimators for stochastic differential equations driven by small Lévy noises

  Long, H., Ma, C. & Shimizu, Y., 2017 5月 1, In: Stochastic Processes and their Applications. 127, 5, p. 1475-1495 21 p.

  研究成果: Article › 査読

  • Least Squares Estimator 100%
  • Differential equations 83%
  • Stochastic Differential Equations 82%
  • Moment Conditions 54%
  • Lipschitz condition 50%
  29 被引用数 (Scopus)

• Threshold Estimation for Stochastic Processes with Small Noise

  Shimizu, Y., 2017 12月, In: Scandinavian Journal of Statistics. 44, 4, p. 951-988 38 p.

  研究成果: Article › 査読

  • Threshold Estimation 100%
  • Least Squares Estimator 66%
  • Stochastic Processes 66%
  • Filter 55%
  • Discrete Observations 28%
  3 被引用数 (Scopus)
• 2016

  Applications of central limit theorems for equity-linked insurance

  Feng, R. & Shimizu, Y., 2016 7月 1, In: Insurance: Mathematics and Economics. 69, p. 138-148 11 p.

  研究成果: Article › 査読

  • Central Limit Theorem 100%
  • Equity 83%
  • Law of Large numbers 70%
  • Central limit theorem 53%
  • Insurance 43%
  13 被引用数 (Scopus)
• 2014

  Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics

  Shimizu, Y., 2014 10月, In: Scandinavian Actuarial Journal. 7, p. 620-648 29 p.

  研究成果: Article › 査読

  • Probability of Ruin 100%
  • Risk Process 89%
  • Ruin Probability 48%
  • Asymptotic Expansion 24%
  • Compound Distribution 23%
  2 被引用数 (Scopus)

• Potential measures for spectrally negative Markov additive processes with applications in ruin theory

  Feng, R. & Shimizu, Y., 2014 12月 1, In: Insurance: Mathematics and Economics. 59, p. 11-26 16 p.

  研究成果: Article › 査読

  • Ruin Theory 100%
  • Markov Additive Process 89%
  • Applied Probability 48%
  • Differential Equations 37%
  • Ruin 35%
  16 被引用数 (Scopus)

• The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

  Brouste, A., Fukasawa, M., Hino, H., Iacus, S. M., Kamatani, K., Koike, Y., Masuda, H., Nomura, R., Ogihara, T., Shimuzu, Y., Uchida, M. & Yoshida, N., 2014, In: Journal of Statistical Software. 57, 4, p. 1-51 51 p.

  研究成果: Article › 査読

  Open Access

  • Stochastic Differential Equations 100%
  • Differential equations 66%
  • Inference 62%
  • Infrastructure 52%
  • Open Source 51%
  47 被引用数 (Scopus)
• 2013

  Finite-time survival probability and credit default swaps pricing under geometric Lévy markets

  Hao, X., Li, X. & Shimizu, Y., 2013 7月, In: Insurance: Mathematics and Economics. 53, 1, p. 14-23 10 p.

  研究成果: Article › 査読

  • Survival Probability 100%
  • Swap 99%
  • Credit Default Swaps 90%
  • Pricing 83%
  • Market 76%
  9 被引用数 (Scopus)

• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises

  Long, H., Shimizu, Y. & Sun, W., 2013 4月, In: Journal of Multivariate Analysis. 116, p. 422-439 18 p.

  研究成果: Article › 査読

  • Least Squares Estimator 100%
  • Stochastic Processes 84%
  • Convolution 56%
  • Semimartingale 55%
  • Moment Conditions 54%
  47 被引用数 (Scopus)

• On a Generalization from Ruin to Default in a Lévy Insurance Risk Model

  Feng, R. & Shimizu, Y., 2013 12月, In: Methodology and Computing in Applied Probability. 15, 4, p. 773-802 30 p.

  研究成果: Article › 査読

  • Defective Renewal Equation 100%
  • Penalty Function 46%
  • Fluctuations (theory) 32%
  • Generalization 32%
  • Compound Distribution 29%
  13 被引用数 (Scopus)
• 2012

  Estimation of parameters for discretely observed diffusion processes with a variety of rates for information

  Shimizu, Y., 2012 6月, In: Annals of the Institute of Statistical Mathematics. 64, 3, p. 545-575 31 p.

  研究成果: Article › 査読

  • Diffusion Process 100%
  • Discrete Observations 72%
  • Tightness 61%
  • Moment Conditions 61%
  • Ergodicity 54%
  7 被引用数 (Scopus)

• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes

  Shimizu, Y., 2012 2月, In: Annals of the Institute of Statistical Mathematics. 64, 1, p. 193-211 19 p.

  研究成果: Article › 査読

  • Ornstein-Uhlenbeck Process 100%
  • Discrete Observations 59%
  • Likelihood Ratio 46%
  • Asymptotically Optimal 46%
  • Unknown 28%
  10 被引用数 (Scopus)

• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model

  Shimizu, Y., 2012 3月, In: Scandinavian Actuarial Journal. 1, p. 56-69 14 p.

  研究成果: Article › 査読

  • Gerber-Shiu Function 100%
  • Nonparametric Estimation 72%
  • Risk Model 61%
  • Siméon Denis Poisson 45%
  • Estimator 45%
  34 被引用数 (Scopus)
• 2011

  Estimation of the expected discounted penalty function for Lévy insurance risks

  Shimizu, Y., 2011 6月, In: Mathematical Methods of Statistics. 20, 2, p. 125-149 25 p.

  研究成果: Article › 査読

  • Expected Discounted Penalty Function 100%
  • Insurance Risk 73%
  • Penalty Function 63%
  • Estimator 46%
  • Risk Process 38%
  23 被引用数 (Scopus)
• 2010

  Threshold selection in jump-discriminant filter for discretely observed jump processes

  Shimizu, Y., 2010, In: Statistical Methods and Applications. 19, 3, p. 355-378 24 p.

  研究成果: Article › 査読

  • Jump Process 100%
  • Discriminant 89%
  • Jump 83%
  • Filter 75%
  • Threshold Estimation 28%
  9 被引用数 (Scopus)
• 2009

  A new aspect of a risk process and its statistical inference

  Shimizu, Y., 2009 2月, In: Insurance: Mathematics and Economics. 44, 1, p. 70-77 8 p.

  研究成果: Article › 査読

  • Statistical Inference 100%
  • Risk Process 94%
  • Jump 62%
  • Discrete Observations 49%
  • Adjustment Coefficient 28%
  23 被引用数 (Scopus)

• Functional estimation for Lévy measures of semimartingales with Poissonian jumps

  Shimizu, Y., 2009 7月, In: Journal of Multivariate Analysis. 100, 6, p. 1073-1092 20 p.

  研究成果: Article › 査読

  • Functional Estimation 100%
  • Semimartingale 92%
  • Jump 76%
  • Estimator 52%
  • Tend 49%
  10 被引用数 (Scopus)

• Model selection for Lévy measures in diffusion processes with jumps from discrete observations

  Shimizu, Y., 2009 2月 1, In: Journal of Statistical Planning and Inference. 139, 2, p. 516-532 17 p.

  研究成果: Article › 査読

  • Diffusion Process 100%
  • Model Selection 94%
  • Discrete Observations 85%
  • Information Criterion 77%
  • Jump 72%
  2 被引用数 (Scopus)

• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data

  Shimizu, Y., 2009 10月 15, In: Statistics and Probability Letters. 79, 20, p. 2200-2207 8 p.

  研究成果: Article › 査読

  • Diffusion Process 100%
  • Ornstein-Uhlenbeck Process 43%
  • Rate of Convergence 38%
  • Estimator 24%
  14 被引用数 (Scopus)
• 2008

  Statistical specification of jumps under semiparametric semimartingale models

  Shimizu, Y., 2008 9月, In: Mathematical Methods of Statistics. 17, 3, p. 209-227 19 p.

  研究成果: Article › 査読

  • Statistical Specification 100%
  • Semimartingale 80%
  • Jump 67%
  • Specification 51%
  • Estimating Function 23%
• 2006

  Estimation of parameters for diffusion processes with jumps from discrete observations

  Shimizu, Y. & Yoshida, N., 2006 10月, In: Statistical Inference for Stochastic Processes. 9, 3, p. 227-277 51 p.

  研究成果: Article › 査読

  • Discrete Observations 100%
  • Diffusion Process 68%
  • Jump 60%
  • Poisson Random Measure 33%
  • Compound Poisson Process 30%
  75 被引用数 (Scopus)

• M-estimation for discretely observed ergodic diffusion processes with infinitely many jumps

  Shimizu, Y., 2006 7月, In: Statistical Inference for Stochastic Processes. 9, 2, p. 179-225 47 p.

  研究成果: Article › 査読

  • M-estimation 100%
  • Ergodic Processes 96%
  • Diffusion Process 70%
  • Jump 61%
  • Stochastic Differential Equations 43%
  31 被引用数 (Scopus)