This is the collection for the University of Waterloo's Department of Statistics and Actuarial Science .

Research outputs are organized by type (eg. Master Thesis, Article, Conference Paper).

Waterloo faculty, students, and staff can contact us or visit the UWSpace guide to learn more about depositing their research.

Recent deposits

  • On some topics in Levy insurance risk models 

    Wong, Jeff (University of Waterloo, 2019-07-16)
    Risk management has long been the central focus within actuarial science. There are various risks a typical actuarial company would look into, solvency risk being one of them. This falls under the scope of surplus analysis. ...
  • A Statistical Response to Challenges in Vast Portfolio Selection 

    Guo, Danqiao (University of Waterloo, 2019-07-04)
    The thesis is written in response to emerging issues brought about by an increasing number of assets allocated in a portfolio and seeks answers to puzzling empirical findings in the portfolio management area. Over the ...
  • Risk Management with Non-Convex and Non-Monotone Preferences 

    Wei, Yunran (University of Waterloo, 2019-06-24)
    This thesis studies two types of problems, the theory of risk functionals and the risk sharing problem. We put a special focus on a class of non-monotone law-invariant risk functionals, called the signed Choquet integrals. The ...
  • Multiply Robust Empirical Likelihood Inference for Missing Data and Causal Inference Problems 

    Zhang, Shixiao (University of Waterloo, 2019-06-06)
    Missing data are ubiquitous in many social and medical studies. A naive complete-case (CC) analysis by simply ignoring the missing data commonly leads to invalid inferential results. This thesis aims to develop statistical ...
  • Statistical Methods for Large-scale Multiple Testing Problems 

    Gao, Yu (University of Waterloo, 2019-04-26)
    A large-scale multiple testing problem simultaneously tests thousands or even millions of null hypotheses, and it is widely used in different fields, for example genetics and astronomy. An error rate serves as a measure ...
  • Longevity Risk Management: Models and Hedging Strategies 

    Zhou, Kenneth Q. (University of Waterloo, 2019-04-17)
    Longevity risk management is becoming increasingly important in the pension and life insurance industries. The unexpected mortality improvements observed in recent decades are posing serious concerns to the financial ...
  • On the Extrema of Functions in the Takagi Class 

    Han, Xiyue (University of Waterloo, 2019-01-23)
    The Takagi class is a class of fractal functions on the unit interval generalizing the celebrated Takagi function. In this thesis, we study the extrema of these functions. This is a problem that goes back to J.-P. Kahane ...
  • On multiple random locations of stationary processes 

    Matheson, Daniel (University of Waterloo, 2019-01-18)
    We generalize the concept of intrinsic location functionals to accommodate n=2 random locations, which we combine together in either sets or vectors. For the set-valued case of "intrinsic multiple-location functionals" we ...
  • Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets 

    Bi, Junna; Cai, Jun (Elsevier, 2019-03)
    In this paper, we investigate the optimal time-consistent investment–reinsurance strategies for an insurer with state dependent risk aversion and Value-at-Risk (VaR) constraints. The insurer can purchase proportional ...
  • Matrix analytic methods for computations in risk theory 

    Kim, Sung Soo (University of Waterloo, 2019-01-15)
    The introduction of matrix analytic methods in risk theory has marked a significant progress in computations in risk theory. Matrix analytic methods have proven to be powerful computational tools for numerically analyzing ...
  • Budget-constrained optimal insurance without the nonnegativity constraint on indemnities 

    Ghossoub, Mario (Elsevier, 2019-01)
    In a problem of Pareto-efficient insurance contracting (bilateral risk sharing) with expected-utility preferences, Gollier (1987) relaxes the nonnegativity constraint on indemnities and argues that the existence of a ...
  • Marginal Causal Sub-Group Analysis with Incomplete Covariate Data 

    Cuerden, Meaghan (University of Waterloo, 2019-01-11)
    Incomplete data arises frequently in health research studies designed to investigate the causal relationship between a treatment or exposure, and a response of interest. Statistical methods for conditional causal effect ...
  • Causal Inference with Recurrent Data via Propensity Score Methods 

    Liang, Haodi (University of Waterloo, 2019-01-07)
    Propensity score methods are increasingly being used to reduce estimation bias of treatment effects for observational studies. Previous research has shown that propensity score methods consistently estimate the marginal ...
  • Empirical Likelihood Quantile Regression for Right-Censored Data 

    Huang, Shimeng (University of Waterloo, 2018-12-17)
    Quantile estimation of time-to-event data plays a key role in many medical applications, especially conditional on covariates of interest. In such settings, bias due to model misspecification is an important concern. As ...
  • Pricing and Hedging of Emerging Products in Finance and Insurance 

    Tang, Junsen (University of Waterloo, 2018-12-12)
    This thesis addresses the pricing and hedging issues on the newly-developed financial and insurance products, including simplified hedges for path-dependent options, variable annuities tied with state-dependent fees, and ...
  • Causal Inference with Covariate Balance Optimization 

    Xie, Yuying (University of Waterloo, 2018-12-04)
    Causal inference is a popular problem in biostatistics, economics, and health science studies. The goal of this thesis is to develop new methods for the estimation of causal effects using propensity scores or inverse ...
  • Statistical Models and Methods for Dependent Life History Processes 

    Lee, Jooyoung (University of Waterloo, 2018-11-28)
    This thesis deals with statistical issues in the analysis of complex life history processes which have characteristics of heterogeneity and dependence. We are motivated, in this thesis, by three specific types of ...
  • The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity 

    Wilson, David Edward Alexander (University of Waterloo, 2018-10-26)
    This thesis covers the parametric estimation of models with stochastic volatility, jumps, and stochastic jump intensity, by FFT. The first primary contribution is a parametric minimum relative entropy optimal Q-measure ...
  • Technological strategies to estimate and control diffusive passage times through the mucus barrier in mucosal drug delivery 

    Newby, Jay M.; Seim, Ian; Lysy, Martin; Ling, Yun; Huckaby, Justin; Lai, Samuel K.; Forest, M. Gregory (Elsevier, 2018-01-01)
    In mucosal drug delivery, two design goals are desirable: 1) insure drug passage through the mucosal barrier to the epithelium prior to drug removal from the respective organ via mucus clearance: and 2) design carrier ...
  • Applications of Stochastic Control to Portfolio Selection Problems 

    Lin, Hongcan (University of Waterloo, 2018-10-16)
    Portfolio selection is an important problem both in academia and in practice. Due to its significance, it has received great attention and facilitated a large amount of research. This thesis is devoted to structuring optimal ...

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