Koike, T. and Haruki, T. (2026). A Characterization of Measures of Concordance of Degree Two. ArXiv:2608.17669.
Koike, T., Hofert, M. and Haruki, T. (2026). Measuring multivariate maximal tail dependence. ArXiv:2605.25766.
Koike, T., Hofert, M. and Haruki, T. (2026). Tail copula representation of path-based maximal tail dependence. ArXiv: 2604.05985.
Koike, T. (2026). Robust risk evaluation of joint life insurance under dependence uncertainty. Annals of Operations Research, Accepted.
Koike, T., Chen, C.W.S. and Lin, E.M.H. (2025). Forecasting and backtesting gradient allocations of Expected Shortfall. Insurance: Mathematics and Economics, 124, 103130.
Koike, T., Kato, S. and Yoshiba, T. (2025). Measuring and testing tail equivalence. Journal of Multivariate Analysis, 209, 105460.
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), pp. 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.
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.
Koike, T., and Minami, M. (2019). Estimation of risk contributions with MCMC. Quantitative Finance, 19(9), 1579-1597.
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.
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).
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).
Koike, T. (2020). Risk Analysis: Measures of concordance, their compatibility and capital allocation (Doctoral thesis).