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

  • Importance Sampling and Stratification for Copula Models 

    Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro (Springer, 2018)
    An importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random ...
  • 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 ...
  • 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 Allocation in Hybrid Pension Plans 

    ZHU, XIAOBAI (University of Waterloo, 2019-09-18)
    Three different hybrid designs are considered in this thesis. Chapter 1 studies the risk management of Cash Balance (CB) pension plans, which are the most popular hybrid plans in the U.S. We show that the simple delta and ...
  • An Application of Matrix Analytic Methods to Queueing Models with Polling 

    Granville, Kevin (University of Waterloo, 2019-08-23)
    We review what it means to model a queueing system, and highlight several components of interest which govern the behaviour of customers, as well as the server(s) who tend to them. Our primary focus is on polling systems, ...
  • Survival Analysis of Complex Featured Data with Measurement Error 

    Chen, Li-Pang (University of Waterloo, 2019-08-22)
    Survival analysis plays an important role in many fields, such as cancer research, clinical trials, epidemiological studies, actuarial science, and so on. A large body of methods on analyzing survival data have been ...
  • Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression 

    Shen, Zhiyi (University of Waterloo, 2019-07-30)
    The theme of this thesis is to develop theoretically sound as well as numerically efficient Least Squares Monte Carlo (LSMC) methods for solving discrete-time stochastic control problems motivated by insurance and finance ...
  • 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 ...

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