- Probability- Statistics - Actuarial Science- Quantitative Risk Management See Research for more specific topics.
Research Support
- Grant-in-Aid for Early-Career Scientists (2021~2024), Japan Society for the Promotion of Science (JSPS, KAKENHI), Grant number: JP21K13275, Principal Investigator.
- Grant-in-Aid for Scientific Research (B) (2024~2027), Japan Society for the Promotion of Science (JSPS, KAKENHI), Grant number: JP24K00273, Co-investigator.
Affiliated member
- Visiting Assistant Professor, Faculty of Science and Technology, Keio University (2020.12.01 - present) - Visiting Research Fellow, Risk Analysis Research Center, The Institute of Statistical Mathematics (2022.04.01 - 2024.03.31)
- Visiting Assistant Professor, Risk Analysis Research Center, The Institute of Statistical Mathematics (2024.04.01 - present)
Contact
Graduate School of Economics Hitotsubashi University 2-1, Naka, Kunitachi, Tokyo 186-8601, Japan
Koike, T., Chen, C.W.S. and Lin, E.M.H. (2024). Forecasting and Backtesting Gradient Allocations of Expected Shortfall. Insurance: Mathematics and Economics, 124, 103130. Available at URL.
Koike, T., Kato, S. and Yoshiba, T. (2025). Measuring and testing tail equivalence. Journal of Multivariate Analysis, 209, 105460. Available at URL.
Koike, T., Lin, L., and Wang, R. (2024). Invariant correlation under marginal transforms. Journal of Multivariate Analysis, 204, 105361.
Chen, C.W.S., Koike, T. and Shau, W.H. (2024) Tail risk forecasting with semi-parametric regression models by incorporating overnight information. Journal of Forecasting, 43(5), 1492–1512.
Koike, T., Lin, L., and Wang, R. (2024). Joint mixability and notions of negative dependence. Accepted by Mathematics of Operations Research.
Koike, T., and Hofert, M. (2024). Comparison of correlation-based measures of concordance in terms of asymptotic variance. Journal of Multivariate Analysis, 201, 105265.
Yoshiba, T., Koike, T. and Kato, S. (2023). On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula. Symmetry, 15(7), 1410. Available at URL.
Koike, T., Kato, S., and Hofert, M. (2023). Measuring non-exchangeable tail dependence using tail copulas. ASTIN Bulletin: The Journal of the IAA. 53(2), 466--487.
Koike, T., and Hofert, M. (2023). Matrix compatibility and correlation mixture representation of generalized Gini's gamma. Canadian Journal of Statistics. 51(4),1111-1125.
Koike, T., Saporito, Y., and Targino, R. (2022). Avoiding zero probability events when computing Value at Risk contributions. Insurance: Mathematics and Economics, 106, 173-192. URL
Koike, T., and Hofert, M. (2021). Modality for scenario analysis and maximum likelihood allocation. Insurance: Mathematics and Economics, 97, 24-43.URL
Koike, T., and Hofert, M. (2020). Markov Chain Monte Carlo methods for estimating systemic risk Allocations.Risks, 8(1), 6; https://doi.org/10.3390/risks8010006. URL
Hofert, M., and Koike, T. (2019). Compatibility and attainability of matrices of correlation-based measures of concordance. ASTIN Bulletin: The Journal of the IAA, 49(3): 885-918. URL
Koike, T., and Minami, M. (2019). Estimation of risk contributions with MCMC. Quantitative Finance,19(9), 1579-1597. URL
Koike, T., Minami, M. and Shiraishi, H. (2016). Calculation of value-at-risk bounds using rearrangement algorithm. (in Japanese), Journal of the Japan Statistical Society, 45(2), 353-375. URL
Other Publications and Manuscripts
Koike, T. (2024). Measuring tail asymmetry of skew normal copula. The Institute of Statistical Mathematics Cooperative Research Report 478, Extreme Value Theory and Applications (22). URL
Koike, T. (2022). Discussion of tail dependence measures using tail copulas. The Institute of Statistical Mathematics Cooperative Research Report 454, Extreme Value Theory and Applications (19). URL
Koike, T. (2020). Risk Analysis: Measures of concordance, their compatibility and capital allocation (Doctoral thesis). URL