6 citations · 29 across the 39 of their papers we have counts for
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q-fin.GN2020
The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk
Jirô Akahori, Yuuki Ida, Maho Nishida +1
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced…
math.PR2020
On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models
J. Akahori, C. Constantinescu, Y. Imamura +1
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash…
math.PR2020
An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
Jirô Akahori, Masahiro Kinuya, Takashi Sawai +1
We will introduce Euler-Maruyama approximations given by an orthogonal system in for high dimensional SDEs, which could be finite dimensional approximations of SPDEs.…