2 citations · 6 across the 14 of their papers we have counts for
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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…
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…
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…
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…