Statistics and Actuarial Science
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

Statedependent Modeling of Default Rates
(University of Waterloo, 20210929)Riskweight function is the most popular formula for banking regulations used to calculate the amount of backup deposit that banks need to hold in order to bear extraordinary losses. The model behind the formula was ... 
Risk Modelling in Shariah Compliant Investment and Insurance Products
(University of Waterloo, 20210928)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. ... 
Change Point Analysis in Piecewise Polynomial Signals Using Trend Filtering
(University of Waterloo, 20210927)Change point analysis, an active area of research in many fields, including statistics, has attracted a lot of attention in recent years. The focus of this thesis is change point detection, where the purpose is to estimate ... 
The Unobserved Waiting Customer Approximation
(Springer, 20210602)We introduce a new approximation procedure to improve the accuracy of matrix analytic methods when using truncated queueing models to analyse infinite buffer systems. This is accomplished through emulating the presence of ... 
On the Number of Trials Needed to Obtain k Consecutive Successes
(Elsevier, 20210430)A sequence of independent Bernoulli trials, each of which is a success with probability p, is conducted. For k ∈ Z+, let Xk be the number of trials required to obtain k consecutive successes. Using techniques from elementary ... 
On the roughness of paths and processes
(University of Waterloo, 20210910)In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ... 
Semiparametric Empirical Likelihood Inference under Twosample Density Ratio Models
(University of Waterloo, 20210827)The semiparametric density ratio model (DRM) provides a flexible and useful platform for combining information from multiple sources. It has been widely used in many fields. This thesis considers several important inference ... 
Failure Time Analysis with Discrete Marker Processes under Intermittent Observation
(University of Waterloo, 20210728)Regression analysis for failure time data is often directed at studying the relationship between a timedependent biomarker and failure. The Cox regression model and the associated partial likelihood on which inference ... 
Topics in Study Design and Analysis Involving Incomplete Data
(University of Waterloo, 20210727)Incomplete data is a common occurrence in statistics with various types and mechanisms such that each can have a significant effect on statistical analysis and inference. This thesis tackles several statistical issues in ... 
Selected Topics in Variable Annuities
(University of Waterloo, 20210622)Variable annuities are longterm insurance products. They have become one of the most popular savings/investment vehicles over the past two decades due to their flexible investment options, stable longterm guarantees, and ... 
Learning From Almost No Data
(University of Waterloo, 20210615)The tremendous recent growth in the fields of artificial intelligence and machine learning has largely been tied to the availability of big data and massive amounts of compute. The increasingly popular approach of training ... 
Comparing Distributions with the Probability of Agreement
(University of Waterloo, 20210603)In this thesis we adapt the probability of agreement (PoA) methodology for the comparison of distributions. Most of the commonly used methods for comparing distributions are rooted in hypothesis testing where decisions are ... 
Efficient Nested Simulation of Tail Risk Measures for Variable Annuities
(University of Waterloo, 20210602)Estimating tail risk measures for portfolios of complex Variable Annuities (VA) is an important enterprise risk management task which usually requires nested simulation. In the nested simulation, the outer simulation stage ... 
Automated Knowledge Discovery using Neural Networks
(University of Waterloo, 20210521)The natural world is known to consistently abide by scientific laws that can be expressed concisely in mathematical terms, including differential equations. To understand the patterns that define these scientific laws, it ... 
Stochastic decomposition for ℓpnorm symmetric survival functions on the positive orthant
(Elsevier, 202107)We derive a stochastic representation for the probability distribution on the positive orthant (0,∞)ᵈ whose association between components is minimal among all probability laws with ℓpnorm symmetric survival functions. ... 
Using Machine Learning Algorithms for Finding the Topics of COVID19 Open Research Dataset Automatically
(University of Waterloo, 20210226)The COVID19 Open Research Dataset (CORD19) is a collection of over 400,000 of scholarly papers (as of January 11th, 2021) about COVID19, SARSCoV2, and related coronaviruses curated by the Allen Institute for AI. ... 
Multivariate Risk Measures for Portfolio Risk Management
(University of Waterloo, 20210129)In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ... 
A critical review of 'optimal' annuitization strategies
(University of Waterloo, 20210128)This paper is an analysis of different selfannuitization strategies advised to a retiree. At the time of retirement, an individual has the choice between annuitizing immediately with their wealth or delaying until a future ... 
Applications of Projection Pursuit in Functional Data Analysis: Goodnessof fit, Forecasting, and Changepoint Detection
(University of Waterloo, 20210120)Dimension reduction methods for functional data have been avidly studied in recent years. However, existing methods are primarily based on summarizing the data by their projections into principal component subspaces, namely ... 
Correlated Data Analysis with Copula Models or Bayesian Nonparametric Methods
(University of Waterloo, 20210120)Different types of correlated data arise commonly in many studies and present considerable challenges in modeling and characterizing complex dependence structures. This thesis considers statistical issues in analyzing such ...