2 citations · 6 across the 14 of their papers we have counts for
15 papers
A Characterization of Measures of Concordance of Degree Two
Takaaki Koike, Haruki Tsunekawa
We characterize bivariate measures of concordance of degree at most two in the sense that the measures evaluated at copula-mixture segments are polynomials of degree at most two. O…
Measuring multivariate maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of bivariate tail dependence since it evaluates the underlying copula only along the d…
Tail copula representation of path-based maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of tail dependence due to its restrictive focus on the diagonal of the underlying copu…
Robust risk evaluation of joint life insurance under dependence uncertainty
Takaaki Koike
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertain…
Measuring and testing tail equivalence
Takaaki Koike, Shogo Kato, Toshinao Yoshiba
We call two copulas tail equivalent if their first-order approximations in the tail coincide. As a special case, a copula is called tail symmetric if it is tail equivalent to the a…
Invariant correlation under marginal transforms
Takaaki Koike, Liyuan Lin, Ruodu Wang
A useful property of independent samples is that their correlation remains the same after applying marginal transforms. This invariance property plays a fundamental role in statist…
Joint mixability and notions of negative dependence
Takaaki Koike, Liyuan Lin, Ruodu Wang
A joint mix is a random vector with a constant component-wise sum. The dependence structure of a joint mix minimizes some common objectives such as the variance of the component-wi…
Measuring non-exchangeable tail dependence using tail copulas
Takaaki Koike, Shogo Kato, Marius Hofert
Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree o…
Matrix compatibility and correlation mixture representation of generalized Gini's gamma
Takaaki Koike, Marius Hofert
Representations of measures of concordance in terms of Pearson' s correlation coefficient are studied. All transforms of random variables are characterized such that the correlatio…
Comparison of correlation-based measures of concordance in terms of asymptotic variance
Takaaki Koike, Marius Hofert
We compare measures of concordance that arise as Pearson's linear correlation coefficient between two random variables transformed so that they follow the so-called concordance-ind…
Modality for Scenario Analysis and Maximum Likelihood Allocation
Takaaki Koike, Marius Hofert
We study the variability of a risk from the statistical viewpoint of multimodality of the conditional loss distribution given that the aggregate loss equals an exogenously provided…
Avoiding zero probability events when computing Value at Risk contributions
Takaaki Koike, Yuri F. Saporito, Rodrigo S. Targino
This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional E…
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Takaaki Koike, Marius Hofert
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jt…
Compatibility and attainability of matrices of correlation-based measures of concordance
Marius Hofert, Takaaki Koike
Measures of concordance have been widely used in insurance and risk management to summarize non-linear dependence among risks modeled by random variables, which Pearson's correlati…
Estimation of Risk Contributions with MCMC
Takaaki Koike, Mihoko Minami
Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficu…