Atsuyuki Kogure

Atsuyuki Kogure

Professor Emeritus
DegreesPh.D. in Statisitics from Yale University in 1986
Other Positions Currently HeldVisiting Researcher at Insurance Risk and Finance Research Centre, Nanyang Business School, Nanyang Technological University, Singapore
Short Biography BA in Economics, Tohoku University, 1977; MA in Econoimics, Tohoku University, 1979; Ph.D. in Statistics, Yale University, 1986.
 Held several positions including Professor at Chiba University and a Visiting Scholar at Bank of Japan in the past.
Areas of ExpertiseData Science, Information and Risk Analysis, Financial Echonometrics
Courses TaughtDATA SCIENCE FOR ECONOMICS AND FINANCE,INTRODUCTION TO TIME-SERIES ANALYSIS
AffiliationsAsia-Pacific Risk & Insurance Association, a member of the Board of Governors.
Selected PublicationsPUBLICATIONS IN ENGLISH:

"A Bayesian Pricing of Longevity Derivatives with Interest Rate Risk,"
To appear in Asia-Pacific Journal of Risk and Insurance, 2017
 "A Bayesian Multivariate Risk-neutral Method for Pricing Reverse Mortgages," North American Actuarial Journal, Vol.18, No.1, 242-257, 2014.
 "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions,"Insurance Mathematics and Economics, Vol.46, No.1, 162-172, 2010.
 "A Bayesian Comparison of Models for Changing Mortalities toward Evaluating Longevity Risk in Japan," Asia-Pacific Journal of Risk and Insurance, Vol.3, No.2, 1-22, 2009.
 "Local Maximum Entropy Density Estimation,” Proceedings on Joint Statistical Meetings, Section of Nonparametric Statistics, 2003.
 "On the Asymptotic Equivalence of Hellinger Distance and Kullback-Leibler Loss," Journal of the Japan Statistical Society, Vol.29, No.1, 1-21, 1999.
 "Effective Interpolations for Kernel Density Estimators," Journal of Nonparametric Statistics," Vol.9, No.1, 165-195, 1998.
 "Nonparametric Prediction for the Time-Dependent Volatility for the Security Price," Financial Engeneering and the Japanese Markets, Vol.3, No.1, 1-22, 1996.
 "Data-Based Cell Selection Rules for a Histogram," Sugaku Exposition, Vol.4, No.1, 111-121, 1990
 "Asymptotically Optimal Cells for a Histogram", The Annals of Statistics, Vol.15, No.3, 1023-1300.

See my Japanese profile page for papers and books published in Japanese.
Message to StudentsMathematical ideas and ways of thinking, which you have been learning through the school years, play an important role in the real world as well. In my seminar classes we acquire the principles and skills of statistical science and apply them to solving various problems in the real world, especially those that have to do with risk and uncertainty. Let's learn together!
Project Web Pagehttp://stat.sfc.keio.ac.jp/kogure/
Contact Information5322 Endo Fujisawa, Kanagawa 252-0882 Japan
Keio University Shonan Fujisawa Campus Kappa 506 (ex: 53056)
TEL : 0466-49-3465
kogure [ at ] sfc.keio.ac.jp
* Please replace [ at ] with @ in the email address before you send it out.