Publications

Books

• [5] 統計学への漸近論，その先は．内田老鶴圃，2023 (正誤表).
  (Asymptotic Theory to Statistics and Beyond, Uchida Roukakuho, Co., Ltd.)
• [4] Asymptotic Statistics in Insurance Risk Theory, Springer Briefs in Statistics, Springer, Singapore, 2021.
  (JSS Research Series in Statistics, Springer Nature Singapore: e-book; Kindle version)
• [3] 市場整合的ソルベンシー評価：金融リスクとアクチュアリアル・モデリング，共立出版，2020.
  (Market consistent solvency evaluation, -Financial risks and actuarial modeling-, Kyoritsu Shuppan, Co., Ltd.)
• [2] 統計学への確率論，その先へ，内田老鶴圃, 第２版 & Kindle版， 2021 (第2版の正誤表).
  (Probability Theory to Statistics and Beyond, Uchida Roukakuho, Co., Ltd.) 初版2019 (初版の正誤表)
• [1] 保険数理と統計的方法，共立出版，2018.
  (Insurance Mathematics with Statistical Methodologies, Kyoritsu Shuppan, Co., Ltd.) (正誤表)
• その他：
  • 統計検定準1級対応 統計学実践ワークブック, 学術図書出版社, 日本統計学会，2020（14, 15章）.
  • 統計科学百科事典，丸善出版, 日本統計学会 訳，2018（編集委員・翻訳者）．
  • 数学で明日は見えますか？/ 確率・統計は未来への指針, 日本評論社, 2023, 数学セミナー5月号, 62, (5)-739.

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Papers

• [56] (with Irie, H.) Approximation and estimation of scale functions for spectrally negative Lévy processes, to appear in Journal of Applied Probability; arXiv:2402.13599
• [55] (with Nemoto, H.) Statistical inference for discretely sampled stochastic functional differential equations with small noise, 2024, Statistical Inference and Stochastic Processes, 27, (2), 427–456 ; arXiv:2303.10807.(DOI)
• [54] (with Takagami, Y.) Utility of classical insurance risk models for measuring the risks of cyber incidents, 2024, Japanese Journal of Statistics and Data Science, 7, (2), 1059-1084: A special issue “Risk and Statistics in Actuarial Science”. (DOI)
• [53] (with Mitsuta, D.) Mortality Prediction using Survival Energy Models with Functional Data Analysis, 2024, Japanese Journal of Statistics and Data Science; 7, (2), 841-859: A special issue “Risk and Statistics in Actuarial Science”: arXiv:2402.06138. (DOI)
• [52] (with Shirai, K.) Constructing Prediction Intervals for Complete Life Expectancy with the Survival Energy Model, 2023, to appear in JARIP Journal (available at Journal website).
• [51] (with Huo, W.) A tail estimate for empirical processes of multivariate Gaussian under general dependence, preprint: arXiv:2303.11635.
• [50] (with Shirai, K.; Kojima, Y.; Mitsuda, D. and Inoue, M.) Survival energy models for mortality prediction and the future prospects, 2023, ASTIN Bulletin, 53, (2), 377-391. (DOI).
• [49] (with Kobayashi, M.) Threshold estimation for jump-diffusions under small noise asymptotic, 2023, Statistical Inference and Stochastic Processes, 26, 361-411. (DOI).
• [48] (with Shiraishi, H.) Semiparametric Estimation of Optimal Dividend Barrier for Spectrally Negative Levy Process, arXiv:2209.05781, 2023, Research Papers in Statistical Inference for Time Series and Related Models, 497-517. (DOI)
• [47] (with Nakamura, S.) Estimating the finite-time ruin probability of a surplus with a long memory via Malliavin calculus; arXiv:2206.09441, 2023, Research Papers in Statistical Inference for Time Series and Related Models, 455-474. (DOI)
• [45] (with Nakajima, S.) Asymptotic inference for stochastic differential equations driven by fractional Brownian motion, 2023, Japanese Journal of Statistics and Data Science, 6, 431–455. (DOI)
• [46] (with Shirai, K.; Kojima, Y.; Mitsuda, D. and Inoue, M.) A new survival energy model and SEM project; SSRN:4127900, 2022.
• [43] (with Shiraishi, H.) M-estimation from quasi-processes for Lévy processes, arXiv:2112.08199, 2022; submitted.
• [42] (with He, Y.; Kawai, R. and Yamazaki, K.) The Gerber-Shiu discounted penalty function: From practical perspectives, arXiv:2203.10680, 2023, Insurance: Mathematics and Economics, 109, 1-28. (DOI)
• [41] (with Nakajima, S.) Parameter estimation of stochastic differential equation driven by small fractional noise, 2022; Statistics, 56, (4), 919-934. (DOI); arXiv:2201.00372.
• [40] (with Nakajima, S.) Asymptotic normality of least squares estimators to stochastic differential equations driven by fractional Brownian motions, Statistics and Probability Letters. 187, 109476, 2022. (DOI)
• [39] (with Kobayashi, M.) Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise, Japanese Journal of Statistics and Data Science. 2022, 5, 217-240; (DOI); arXiv:2201.06787.
• [38] (with Chen, C.; Sato, T.; Kawaguchi, S.; Ye, X.) Mortality Rate Forecasting Using Compositionally-Warped Gaussian Processes Equipped with Grid Search, preprint, 2021;
• [37] Confidence intervals of ruin probability under Lévy surplus, Asymptotic Statistics in Insurance Risk Theory. Springer, 2021; arXiv:2112.07405.
• [36] Asymptotic distributions for estimated expected functionals of general random elements,  arXiv:2005.02532, preprint, 2021.
• [35] (with Minami, Y. and Ito, R.) Why does a human die? A structural approach to cohort-wise mortality prediction under Survival Energy Hypothesis, ASTIN Bulletin. 2020, 51, (1) 191-219; (Open Access).
  • Erratum: on Theorem 3.2.
• [34] (with Ito, R.). Cohort-wise mortality prediction under survival energy hypothesis, Special issues of proceedings in J. Japanese Association of Risk, Insurance and Pensions. 2019, 6, 17–30.
• [33] (with Fujimori, K. and Sakamoto, S.) Moment convergence of the generalized maximum composite likelihood estimators for determinantal point processes, arXiv:1909.01211, 2019.
• [32] (with Zhang, Z.) Asymptotically normal estimators of the ruin probability for Lévy Insurance surplus from discrete samples, Risks MDPI. 2019, 7 (2), 1-22. (DOI)
• [31] (with Hayashi, K.) Estimation of a Concordance Probability for Doubly Censored Time-to-Event Data, Statistics in Biosciences. 2018, 10, (3), p. 546-567. (DOI)
• [30] (with Tanaka, S.) Dynamic risk measures for stochastic asset processes from ruin theory, Annals of Actuarial Science. 2018, 12, (2), 249-268. (DOI)
• [29] (with Oshime, T.) Parametric inference for ruin probability in the classical risk model, Statistics and Probability Letters. 2018, 133, 28-37. (DOI)
• [28] Threshold estimation for stochastic processes with small noise, Scandinavian Journal of Statistics. 2017, 44, (4), 951-988. (DOI)
• [27] (with Zhang, Z.) Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus, Insurance: Mathematics and Economics. 2017, 74, 84-98. (DOI)
• [26] (with Long, H. and Ma, C.) Least-squares estimators for stochastic differential equations driven by small Lévy noises, Stochastic Processes and their Applications. 2017, 127, 1475-1495. (DOI)
• [25] (with Feng, R.) Applications of central limit theorems for equity-linked insurance, Insurance: Mathematics and Economics. 2016, 69, 138-148.(DOI)
• [24] (with Feng, R.) Potential measures for spectrally negative Markov additive processes with applications in ruin theory, Insurance: Mathematics and Economics, 2014, 64, 11-26. (DOI),
• [23] (with Brouste, A.; Fukasawa, M.; Hino, H.; Iacus, S.; Kamatani, K.; Koike, Y.; Masuda, H.; Nomura, R.; Ogihara, T; Uchida, M.; Yoshida, N.) The YUIMA Project: A computational framework for simulation and inference of stochastic differential equations, Journal of Statistical Software. 2014, 57, (4); available online. (DOI)
• [22] Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics, Scandinavian Actuarial Journal 2014, (7), 620-648. (DOI)
• [21] (with Hao, X. and Li, X.) Finite-time survival probability and credit default swaps pricing under geometric Lévy markets, Insurance: Mathematics and Economics, 2013, 53, 14-23. (DOI)
• [20] (with Long, H.; Sun, W.) Least squares estimator for discretely observed stochastic processes driven by additive small Lévy noises, J. Multivariate Analysis 2013, 116, 422-439. (DOI)
• [19] (with Feng, R.) On a generalization from ruin to default in a Lévy insurance risk model, Methodology and Computing in Applied Probability, 2013 15, (4), 773-802. (DOI)
• [18] Nonparametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model, Scandinavian Actuarial Journal, 2012, (1), 56-69. (DOI),
• [17] Estimation of parameters for discretely observed diffusion processes with a variety of rates for information, Annals of Institute of Statistical Mathematics, 2012, 64, (3), 545-575. (DOI)
• [16] Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes, Annals of Institute of Statistical Mathematics, 2012, 64, (1), 193-211. (DOI).
• [15] Estimation of the expected discounted penalty function for Lévy insurance risks, Mathematical Methods of Statistics, 2011, 20, (2), 125-149. (DOI)
• [14] 危険理論におけるGerber-Shiu関数と統計的推測, 統計数理, 2011, 特集「金融リスクの統計推測」59, (1), 105-124. (pdf)
• [13] Threshold selection in jump-discriminant filter for discretely observed jump processes, Statistical Methods & Applications, 2010,19, (3), 355-378. (DOI)
• [12] Notes on drift estimation for certain non-recurrent diffusion processes from sampled data, Statistics & Probability Letters, 2009, 79, (20), 2200-2207. (DOI) **Correction Information** (pdf)
• [11] 飛躍型確率過程に対する離散観測による閾値推定法, 統計数理, 2009, 特集「確率過程の統計解析」57, (1), 97-118. (pdf)
• [10] Functional estimation for Lévy measures of semimartingales with Poissonian jumps, J. Multivariate Analysis, 2009, 100, (6), 1073-1092. (DOI)
• [9] A new aspect of a risk process and its statistical inference, Insurance: Mathematics and Economics, 2009, 44, (1), 70-77. (DOI)
• [8] Model selection for Lévy measures in diffusion processes with jumps from discrete observations, J. Statistical Planning and Inference, 2009, 139, (2), 516-532.(DOI)
• [7] A practical inference for discretely observed jump-diffusions from finite samples, J. Japan Statistical Society., 2008, 38, (3), 391-413. (DOI)
• [6] Some remarks on estimation of diffusion coefficients for jump-diffusions from finite samples, Bulletin of Informatics and Cybernetics, 2008, 40, 51-60. (pdf)
• [5] (with Hayashi, K. and Kano, Y.) Consistency of penalized risk of boosting methods in binary classification, New Trends in Psychometrics, 2008, Universal Academic Press, 87-96. (pdf)
• [4] Statistical specification of jumps under semiparametric semimartingale models, Mathematical Methods of Statistics, 2008, 17, (3), 209-227. (DOI)
• [3] (with Yoshida, N.)Estimation of parameters for diffusion processes with jumps from discrete observations,
  Statistical Inference and Stochastic Processes, 2006, 9, (3), 227-277. (DOI) **Correction Information**
• [2] M-estimation for discretely observed ergodic diffusion processes with infinitely many jumps, Statistical Inference and Stochastic Processes. 2006, 9, (2), 179-225. (DOI)
• [1] Density estimation of Lévy measures for discretely observed diffusion processes with jumps, J. Japan Statistical Society 2006, 36. (1), 37-62. (DOI)　日本統計学会小川研究奨励賞受賞

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Doctoral Dissertation

• Shimziu, Y. (2007). Asymptotic inference for stochastic differential equations with jumps from discrete observations and some practical approaches,Graduate School of Mathematical Sciences, University of Tokyo. October, 2007.  (pdf) (Japanese summary is here),
  *** This paper consists of the published works [1], [2], [3] and [7].