統計数学セミナー

過去の記録 ~02/05次回の予定今後の予定 02/06~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2006年11月17日(金)

15:00-16:10   数理科学研究科棟(駒場) 118号室
清水 泰隆 氏 (大阪大学大学院基礎工学研究科)
Functional estimation of L'evy measure for jump-type processes
[ 講演概要 ]
Recently, stochastic processes with Poissonian jumps are frequently used in finance and insurance. In their applications, it often becomes important to estimate some functionals of integral types with respect to L'evy measures. In this talk, we propose a nonparametric estimator of their functionals based on both continuous and discrete observations. If time permits, we shall also mention the application to the mathematical insurance, in particular, the estimates of ruin probabilities for genelarized risk processes.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/13.html