Now showing items 1-9 of 9

    • Effective Dimensionality Control in Quantitative Finance and Insurance 

      Liu, Kai (University of Waterloo, 2017-09-06)
      It is well-known that dimension reduction techniques such as the Brownian bridge, principal component analysis, linear transformation could increase the efficiency of Quasi-Monte Carlo (QMC) methods. Caflisch et al. (1997), ...
    • Individual insurance choice: A stochastic control approach 

      Li, Wenyuan (University of Waterloo, 2023-02-28)
      This thesis applies the stochastic control approach to study the optimal insurance strategy for three problems. The first problem studies the optimal non-life insurance for an individual exhibiting internal habit formation ...
    • Quantitative Analysis of Extreme Risks and Extremal Dependence in Insurance and Finance 

      Cui, Hengxin (University of Waterloo, 2019-09-25)
      In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in insurance and finance. We use regularly varying distribution functions in extreme value theory (EVT) to model extreme ...
    • Risk Management with Basis Risk 

      Zhang, Jingong (University of Waterloo, 2018-06-19)
      Basis risk occurs naturally in a variety of financial and actuarial applications, and it introduces additional complexity to the risk management problems. Current literature on quantifying and managing basis risk is still ...
    • Risk Modelling in Shariah Compliant Investment and Insurance Products 

      Puspita, Dila (University of Waterloo, 2021-09-28)
      The main objective of this study is to develop a risk model for Shariah (Islamic) compliant investment and insurance. Islamic finance is a part of Socially Responsible Investment (SRI) that incorporates religious ethics. ...
    • Robust Risk Aggregation Techniques and Applications 

      Chen, Yuyu (University of Waterloo, 2022-08-23)
      Risk aggregation, which concerns the statistical behaviors of an aggregation position S(X) associated with a random vector X = (X1, . . . , Xn), is an important research topic in risk management, economics, and statistics. ...
    • Sparse Models in High-Dimensional Dependence Modelling and Index Tracking 

      Han, Dezhao (University of Waterloo, 2017-01-17)
      This thesis is divided into two parts. The first part proposes parsimonious models to the vine copula. The second part is devoted to the index tracking problem. Vine copulas provide a flexible tool to capture asymmetry ...
    • Tail Dependence and Heavy Tailedness in Extreme Risks 

      Ji, Liuyan (University of Waterloo, 2020-12-18)
      Much empirical work has shown that asset returns, exchange rates, operational risks, large insurance claims exhibit heavy tailedness. Dependence also widely exists among these risks. An example of the impact of dependence ...
    • Valuation of Carbon Emission Allowances and Sustainable Investment 

      Fang, Mingyu (University of Waterloo, 2019-09-25)
      Rising awareness of the impacts of climate change is leading to a rapid development of emission trading schemes (ETS) globally as a market-based means of emission control. Under a typical ETS, emission allowances are issued ...


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