• 112 Citations
  • 3 h-Index
19982020
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Fingerprint Dive into the research topics where Koji Inui is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Value at Risk Mathematics
Fat Tails Mathematics
Mathematical models Engineering & Materials Science
Estimator Mathematics
Learning systems Engineering & Materials Science
Websites Engineering & Materials Science
Information systems Engineering & Materials Science
Heavy Tails Mathematics

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Research Output 1998 2020

  • 112 Citations
  • 3 h-Index
  • 3 Article
  • 2 Conference contribution

Development of a Cyber Incident Information Crawler

Ikegami, K., Yamada, M., Kikuchi, H. & Inui, K., 1 Jan 2020, Innovative Mobile and Internet Services in Ubiquitous Computing - Proceedings of the 13th International Conference on Innovative Mobile and Internet Services in Ubiquitous Computing IMIS-2019. Barolli, L., Xhafa, F. & Hussain, O. K. (eds.). Springer Verlag, p. 447-455 9 p. (Advances in Intelligent Systems and Computing; vol. 994).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Learning systems
Websites
Information systems

Mathematical model to estimate loss by cyber incident in Japan

Yamada, M., Kikuchi, H., Matsuyama, N. & Inui, K., 1 Jan 2019, ICISSP 2019 - Proceedings of the 5th International Conference on Information Systems Security and Privacy. Mori, P., Camp, O. & Furnell, S. (eds.). SciTePress, p. 353-360 8 p. (ICISSP 2019 - Proceedings of the 5th International Conference on Information Systems Security and Privacy).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Mathematical models
Network security
Insurance
Industry
Compensation and Redress
58 Citations (Scopus)

On the significance of expected shortfall as a coherent risk measure

Inui, K. & Kijima, M., 1 Apr 2005, In : Journal of Banking and Finance. 29, 4, p. 853-864 12 p.

Research output: Contribution to journalArticle

Coherent risk measures
Expected shortfall
Coherent measures of risk
Extrapolation
Market data
9 Citations (Scopus)

VaR is subject to a significant positive bias

Inui, K., Kijima, M. & Kitano, A., 15 May 2005, In : Statistics and Probability Letters. 72, 4, p. 299-311 13 p.

Research output: Contribution to journalArticle

Value at Risk
Fat Tails
Estimator
Heavy Tails
Risk Measures
45 Citations (Scopus)

A Markovian framework in multi-factor Heath-Jarrow-Morton models

Inui, K. & Kijima, M., Sep 1998, In : Journal of Financial and Quantitative Analysis. 33, 3, p. 423-440 18 p.

Research output: Contribution to journalArticle

Heath-Jarrow-Morton model
Multi-factor
State variable
Discount
Factors