Browsing University of Waterloo by Supervisor "Hofert, Marius"
Now showing items 1-3 of 3
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Dependence: From classical copula modeling to neural networks
(University of Waterloo, 2020-08-25)The development of tools to measure and to model dependence in high-dimensional data is of great interest in a wide range of applications including finance, risk management, bioinformatics and environmental sciences. The ... -
Randomized quasi-Monte Carlo methods with applications to quantitative risk management
(University of Waterloo, 2022-05-03)We use randomized quasi-Monte Carlo (RQMC) techniques to construct computational tools for working with normal mixture models, which include automatic integration routines for density and distribution function evaluation, ... -
Risk Analysis: Measures of concordance, their compatibility and capital allocation
(University of Waterloo, 2020-08-20)This thesis addresses various topics in the field of probability theory and statistics with applications in quantitative risk management. The first topic concerns matrix compatibility and attainability problems for ...