KEIO RESEARCHERS INFORMATION SYSTEM

Career 【 Display / hide 】

Career 【 Display / hide 】

• 1998.04

  -

  2000.01

  GE Capital Edison Life Insurance Company

• 2000.02

  -

  2005.03

  Prudential Life Insurance Co,. Ltd.

• 2005.04

  -

  2007.03

  Hannover Re Services Japan

• 2007.04

  -

  2008.03

  Waseda University, Department of Applied Mathematics School of Fundamental Science and Engineering, Research associate

• 2008.04

  -

  2009.03

  Waseda University, Department of Applied Mathematics School of Fundamental Science and Engineering, Assistant Professor

display all >>

Academic Background 【 Display / hide 】

Academic Background 【 Display / hide 】

• 1994.04

  -

  1998.03

  Waseda University, School of Sciences, Department of Mathematics

  University, Graduated

• 2002.04

  -

  2004.03

  Waseda University, School of Sciences, Department of Mathematics

  Graduate School, Completed, Master's course

• 2004.04

  -

  2007.03

  Waseda University, School of Sciences, Department of Mathematics

  Graduate School, Withdrawal after completion of doctoral course requirements, Doctoral course

Academic Degrees 【 Display / hide 】

Academic Degrees 【 Display / hide 】

• 博士（理学）, Waseda University, 2007.10

  Statistical Estimation of Optimal Portfolios for Dependent Returns of Assets

Licenses and Qualifications 【 Display / hide 】

Licenses and Qualifications 【 Display / hide 】

• Fellow of Institute of Actuaries Japan (FIAJ), 2007.02

Research Areas 【 Display / hide 】

Research Areas 【 Display / hide 】

• Informatics / Statistical science

• Humanities & Social Sciences / Money and finance

• Humanities & Social Sciences / Economic statistics

Research Keywords 【 Display / hide 】

Research Keywords 【 Display / hide 】

• Statistical Estimation

• Asymptotic Theory

• Point Process

• actuarial science

• portfolio

Research Themes 【 Display / hide 】

Research Themes 【 Display / hide 】

• Modeling of Time Series Data using Random Forests, 

  2021.04

  -

  Present

• Statistical Estimation for discrete observed discritized locally stationary Hawkes process, 

  2018.02

  -

  Present

• Statistical Estimation of Optimal Dividend Barrier in Insurance Mathematics, 

  2014.04

  -

  Present

• Asymptotic Property of Statistics for Time Series Data, 

  2005

  -

  Present

• Optimal Portfolio Selection Problem, 

  2005

  -

  Present

Books 【 Display / hide 】

Books 【 Display / hide 】

• Semiparametric Estimation of Optimal Dividend Barrier for Spectrally Negative Lévy Process

  Shimizu Y., Shiraishi H., Research Papers in Statistical Inference for Time Series and Related Models: Essays in Honor of Masanobu Taniguchi, 2023.01

  　View Summary

  We discuss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a Lévy insurance risk process. The optimal dividend barrier is defined as the level of the barrier that maximizes the expectation of the present value of all dividend payments until ruin. In this paper, an estimator of the expected present value of all dividend payments is defined based on “quasi-process” in which sample paths are generated by shuffling increments of a sample path of the Lévy insurance risk process. The consistency of the optimal dividend barrier estimator is shown. Moreover, our approach is examined numerically in the case of the compound Poisson risk model perturbed by diffusion.

  • Access to Document (DOI)

• 時系列データ解析

  Hiroshi Shiraishi, 森北出版, 2022.02,  Page： 248

• Statistical Portfolio Estimation

  Taniguchi M, Shiraishi H, Hirukawa J, Solvang K H, Yamashita T, Chapman and Hall/CRC, 2017.08,  Page： 377

  Scope: 3章、4章、8章の一部

  　View Summary

  The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered.
  
  This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.

Papers 【 Display / hide 】

Papers 【 Display / hide 】

• Time Series Quantile Regression Using Random Forests

  Shiraishi H., Nakamura T., Shibuki R.

  Journal of Time Series Analysis 45 ( 4 ) 639 - 659 2024.07

  ISSN  01439782

  　View Summary

  We discuss an application of Generalized Random Forests (GRF) proposed to quantile regression for time series data. We extended the theoretical results of the GRF consistency for i.i.d. data to time series data. In particular, in the main theorem, based only on the general assumptions for time series data and trees, we show that the tsQRF (time series Quantile Regression Forest) estimator is consistent. Compare with existing article, different ideas are used throughout the theoretical proof. In addition, a simulation and real data analysis were conducted. In the simulation, the accuracy of the conditional quantile estimation was evaluated under time series models. In the real data using the Nikkei Stock Average, our estimator is demonstrated to capture volatility more efficiently, thus preventing underestimation of uncertainty.

  • Access to Document (DOI)

• Estimating the effective reproduction number of COVID-19 via the chain ladder method

  Lin X., Matsunaka Y., Shiraishi H.

  Japanese Journal of Statistics and Data Science  2024

  　View Summary

  This paper addressed a critical issue of reporting delays in estimating the effective reproduction number, focusing on the context of the COVID-19 pandemic. The reporting delay problem is a pervasive challenge, impacting the accuracy of the estimation and consequently influencing public health decision-making. Through the exploration of the application of the Chain Ladder method, a well-established technique from actuarial science, a novel approach to mitigate the effects of reporting delays in infectious disease epidemiology was proposed. By applying the Chain Ladder method to infectious disease data, we illustrated its potential to provide more accurate and timely estimation, accounting for reporting delays inherent in epidemiological surveillance systems.

  • Access to Document (DOI)

• Association between prehospital transfer distance and surgical mortality in emergency thoracic aortic surgery

  Yu Izumisawa, Hideki Endo, Nao Ichihara, Arata Takahashi, Kan Nawata, Hiroshi Shiraishi, Hiroaki Miyata, Noboru Motomura

  The Journal of Thoracic and Cardiovascular Surgery 163 ( 1 ) 28 - 35 2022.01

  Research paper (scientific journal), Joint Work, Accepted,  ISSN  00225223

  　View Summary

  © 2020 The American Association for Thoracic Surgery Objective: To examine whether there is an association between prehospital transfer distance and surgical mortality in emergency thoracic aortic surgery. Methods: A retrospective cohort study using a national clinical database in Japan was conducted. Patients who underwent emergency thoracic aortic surgery from January 1, 2014, to December 31, 2016, were included. Patients with type B dissection were excluded. A multilevel logistic regression analysis was performed to examine the association between prehospital transfer distance and surgical mortality. In addition, an instrumental variable analysis was performed to address unmeasured confounding. Results: A total of 12,004 patients underwent emergency thoracic aortic surgeries at 495 hospitals. Surgical mortality was 13.8%. The risk-adjusted mortality odds ratio for standardized distance (mean 12.8 km, standard deviation 15.2 km) was 0.94 (95% confidence interval, 0.87-1.01; P = .09). Instrumental variable analysis did not reveal a significant association between transfer distance and surgical mortality as well. Conclusions: No significant association was found between surgical mortality and prehospital transfer distance in emergency thoracic aortic surgery cases. Suspected cases of acute thoracic aortic syndrome may be transferred safely to distant high-volume hospitals.

  • Access to Document (DOI)

• Comparison of Two Estimation Methods for Hawkes Processes and Application to Actual Data Analysis

  Shuji Chinone, Hiroshi Shiraishi

  Proceedings of the Institute of Statistical Mathematics (The Institute of Statistical Mathematics)  69 ( 2 ) 181 - 207 2021.12

  Research paper (bulletin of university, research institution), Joint Work, Accepted

• Hawkesグラフを用いた多変量計数データのイベントの伝播構造の推移の可視化とその生命保険事業への応用の可能性の検討

  Shiraishi Hiroshi

  生命保険論集 (生命保険文化センター)  213   125 - 170 2020.12

  Research paper (scientific journal), Single Work,  ISSN  1346-7190

display all >>

Papers, etc., Registered in KOARA 【 Display / hide 】

Papers, etc., Registered in KOARA 【 Display / hide 】

• Portfolio optimization problem for high dimensional data

  Shiraishi, Hiroshi

  科学研究費補助金研究成果報告書 2016

Presentations 【 Display / hide 】

Presentations 【 Display / hide 】

• Generalized random forests for dependent data

  Hiroshi Shiraishi, Tomoshige Nakamura

  5th International Conference on Econometrics and Statistics (EcoSta2022)) (Ryukoku University(Web)) , 

  2022.06

  , 

  Oral presentation (general), EcoSta

• Time Series Quantile Regressions by using Random Forests

  Hiroshi Shiraishi, Ryotaro Shibuki, Tomoshige Nakamura

  Waseda International Symposium : Topological Data Science, Causality, Analysis of Variance and Time Series (Waseda University) , 

  2022.03

  , 

  Oral presentation (general), Yan Liu, Yuichi Goto

• ランダムフォレストを用いた時系列分位点回帰

  Hiroshi Shiraishi, Ryotaro Shibuki, Tomoshige Nakamura

  Innovative development of theory and methodology on statistical science in various fields (Niigata University, Station South Campus Tokimate, Lecture Room A, B) , 

  2021.09

  , 

  Symposium, workshop panel (public), Junichi Hirukawa (Niigata Universiry)，Makoto Aoshima (University of Tsukuba)

• Semiparametric estimation of optimal dividend barrier for Levy processes

  Hiroshi Shiraishi, Yasutaka Shimizu

  4th International Conference on Econometrics and Statistics (EcoSta2021) (Hong Kong University of Science and Technology(Web)) , 

  2021.06

  , 

  Oral presentation (general), EcoSta

• Local Asymptotic Normality and Efficient Estimation for Multivariate INAR(p) Models

  Hiroshi Shiraishi

  Kinosaki Seminar Data Science&Causality (Blue Ridge Hotel) , 

  2019.03

  , 

  Symposium, workshop panel (public), Masanobu Taniguchi (Waseda University)

display all >>

Research Projects of Competitive Funds, etc. 【 Display / hide 】

Research Projects of Competitive Funds, etc. 【 Display / hide 】

• ネイマン直交性を用いた機械学習と統計的推論を併用した推定理論の時系列解析への応用

  2021.04

  -

  2026.03

  MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator

• Statistical Estimation for Optimal Dividend Barrier with Insurance Portfolio

  2016.10

  -

  2022.03

  Keio University, Grant-in-Aid for Scientific Research, Shiraishi Hiroshi, Research grant, Principal investigator

• Portfolio Optimization Problem for High Dimensional Data

  2012.04

  -

  2017.03

  Jikei Medical University, Keio University, Grant-in-Aid for Scientific Research, Shiraishi Hiroshi, Research grant, Principal investigator

• Statistical Estimation of Optimal Portfolios for Dependent Returns of Assets

  2008.04

  -

  2011.03

  Waseda University, Jikei Medical University, Grant-in-Aid for Scientific Research, Shiraishi Hiroshi, Research grant, Principal investigator

Courses Taught 【 Display / hide 】

Courses Taught 【 Display / hide 】

• TOPICS IN LIFE INSURANCE MATHEMATICS

  2024

• TIME SERIES MODELS

  2024

• STATISTICAL SCIENCE AND ITS EXERCISE

  2024

• SEMINAR IN STATISTICAL SCIENCES

  2024

• MATHEMATICAL FINANCE

  2024

display all >>

Courses Previously Taught 【 Display / hide 】

Courses Previously Taught 【 Display / hide 】

• 数理統計学第１同演習

  Keio University

  2015.04

  -

  2016.03

  , 

  Spring Semester, Seminar, Within own ｆaculty, 2h

• 時系列モデル

  Keio University

  2015.04

  -

  2016.03

  , 

  Spring Semester, Lecture, Within own ｆaculty, 1h

• 生命保険概論

  Keio University

  2015.04

  -

  2016.03

  , 

  Spring Semester, Lecture, 1h

• 数学1B

  Keio University

  2015.04

  -

  2016.03

  , 

  Autumn Semester, Lecture, Within own ｆaculty, 1h

• 統計科学輪講

  Keio University

  2015.04

  -

  2016.03

  , 

  Autumn Semester, Seminar, Within own ｆaculty, 1h

display all >>

Memberships in Academic Societies 【 Display / hide 】

Memberships in Academic Societies 【 Display / hide 】

• Japan Statistical Society, 

  2003.10

  -

  Present

• The Mathematical Society of Japan, 

  2002.10

  -

  Present

• Institute of Actuaries Japan, 

  1998.04

  -

  Present

Committee Experiences 【 Display / hide 】

Committee Experiences 【 Display / hide 】

• 2017.04

  -

  Present

  産学共同委員会委員, 日本アクチュアリー会

• 2013.07

  -

  2015.06

  『数学』常任編集委員, 日本数学会

• 2012

  -

  Present

  Reviewer for Methematica Reviews(MR), American Mathematical Society