Shiraishi, Hiroshi

写真a

Affiliation

Faculty of Science and Technology, Department of Mathematics (Yagami)

Position

Associate Professor

E-mail Address

E-mail address

Related Websites

External Links

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

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Academic Background 【 Display / hide

  • 1994.04
    -
    1998.03

    Waseda University, School of Sciences, Department of Mathematics

    Japan, University, Graduated

  • 2002.04
    -
    2004.03

    Waseda University, School of Sciences, Department of Mathematics

    Japan, Graduate School, Completed, Master's course

  • 2004.04
    -
    2007.03

    Waseda University, School of Sciences, Department of Mathematics

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

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

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

 

Research Areas 【 Display / hide

  • Statistical science

  • Money/ Finance

  • Economic statistics

Research Keywords 【 Display / hide

  • Statistical Estimation

  • Asymptotic Theory

  • Point Process

  • actuarial science

  • portfolio

Research Themes 【 Display / hide

  • 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

  • Statistical Portfolio Estimation

    TANIGUCHI MasanobuSHIRAISHI HiroshiHIRUKAWA JunichiHiroko Kato SolvangYAMASHITA Takashi, Chapman and Hall/CRC, 2017.08

     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

  • Visualization of propagation structure in COVID-19 infectious diseases and cryptocurrency market using Hawkes graph

    Shuji Chinone, Hiroshi Shiraishi

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

    Research paper (scientific journal), Joint Work, Accepted

  • Visualization of Event Propagation Structure of Multivariate Count Data using Hawkes graphs and its Application to Life Insurance Business

    Hiroshi Shiraishi

    JILI Journal (Japan Institute of Life Insurance )   ( 213 ) 125 - 170 2020.12

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

  • Hawkes 過程を利用したシステミックリスク定量化

    泉澤佑,白石博

    JARIP Bulletin 4 ( 1 ) 31 - 51 2020.11

    Research paper (bulletin of university, research institution), Joint Work, Except for reviews

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

    Izumisawa Y., Endo H., Ichihara N., Takahashi A., Nawata K., Shiraishi H., Miyata H., Motomura N.

    Journal of Thoracic and Cardiovascular Surgery (Journal of Thoracic and Cardiovascular Surgery)   2020

    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.

  • Local asymptotic normality and efficient estimation for multivariate GINAR(p) models

    Hiroshi Shiraishi

    Cogent Mathematics & Statistics 6 ( 1 ) 1695437 2019.12

    Research paper (scientific journal), Single Work, Accepted

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

Presentations 【 Display / hide

  • Time Series Quantile Regressions by using Random Forest

    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, Panelist (public offering), 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, Panelist (public offering), Masanobu Taniguchi (Waseda University)

  • Time-varying Graphs By Locally Stationary Hawkes processes

    Hiroshi Shiraishi, Taiga Uno, Yu Izumisawa, Junichi Hirukawa

    HKUSR-Keio University Joint Workshop on Mathematics and Applications (HKUST Jockey Club Institute for Advanced Study (IAS) – IAS Room 2042 ) , 2018.11, Symposium, Workshop, Panelist (nomination)

  • 局所定常Hawkes過程のグラフによる可視化_

    白石博,宇野大我,泉澤佑,蛭川潤一

    2018年度 統計関連学会連合大会 (中央大学・後楽園キャンパス) , 2018.09, Oral Presentation(general)

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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, 白石 博, Grant-in-Aid for Scientific Research (C), Principal Investigator

  • Statistical Estimation for Optimal Dividend Barrier with Insurance Portfolio

    2016.10
    -
    Present

    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

  • TOPICS IN LIFE INSURANCE MATHEMATICS

    2021

  • TIME SERIES MODELS

    2021

  • STATISTICAL SCIENCE AND ITS EXERCISE

    2021

  • SEMINAR IN STATISTICAL SCIENCES

    2021

  • MATHEMATICS 2A

    2021

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Courses Previously Taught 【 Display / hide

  • 数理統計学第1同演習

    Keio University, 2015, Spring Semester, Major subject, Seminar, Within own faculty, 2h

  • 時系列モデル

    Keio University, 2015, Spring Semester, Major subject, Lecture, Within own faculty, 1h

  • 生命保険概論

    Keio University, 2015, Spring Semester, Major subject, Lecture, 1h

  • 数学1B

    Keio University, 2015, Autumn Semester, General education subject, Lecture, Within own faculty, 1h

  • 統計科学輪講

    Keio University, 2015, Autumn Semester, Major subject, Seminar, Within own faculty, 1h

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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

  • 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