Statistics and Actuarial Science Theses & Dissertations
This is the collection for the University of Waterloo's Department of Statistics and Actuarial Science theses & dissertations.
Graduate students can submit a copy of their electronic thesis or dissertation to this collection to meet their degree requirements.
Recent Submissions

Risk Measures and Capital Allocation Principles for Risk Management
(University of Waterloo, 20160921)Risk measures (or premium principles) and capital allocation principles play a signi cant role in risk management. Regulators and companies in the nancial markets usually adopt an appropriate risk measure, for example, ... 
Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance
(University of Waterloo, 20160902)This thesis studies the estimation, goodnessoffit testing, pricing and sampling problems for regime switching models, which are popularly used in financial markets. Specifically, we consider such models whose distributions ... 
Analysis of Time Dependent Aggregate Claims
(University of Waterloo, 20160722)Estimation of aggregate claim amounts is a fundamental task in Actuarial science, based on which risk theory, ruin theory and reinsurance theory can be studied. Properties, including moments, Laplace transforms, and ... 
Modeling and Prediction of Disease Processes Subject to Intermittent Observation
(University of Waterloo, 20160721)This thesis is concerned with statistical modeling and prediction of disease processes subject to intermittent observation. Times of disease progression are intervalcensored when progression status is only known at a ... 
Modeling and Managing Longevity Risk: Models and Applications
(University of Waterloo, 20160720)With the threat of longevity risk to the insurance industry becoming increasingly apparent in recent years, insurers and reinsurers are concerned about how to better model and manage longevity risk. However, modeling and ... 
General Quadratic Risk Minimization: a Variational Approach
(University of Waterloo, 20160705)Meanvariance portfolio selection and meanvariance hedging are mainstream research topics in mathematical nance, which can be subsumed within the framework of a general problem of quadratic risk minimization. We study ... 
Robustness in Dimensionality Reduction
(University of Waterloo, 20160414)Dimensionality reduction is widely used in many statistical applications, such as image analysis, microarray analysis, or text mining. This thesis focuses on three problems that relate to the robustness in dimension ... 
House Price Risk in Mortgage Contracts
(University of Waterloo, 20160125)Research has shown that mortgage default is closely related to house prices. When house prices fall the borrower has an incentive to default. Since default incurs substantial cost to the lender, the borrower and many other ... 
Applications of Geometry in Optimization and Statistical Estimation
(University of Waterloo, 20160125)Geometric properties of statistical models and their influence on statistical inference and asymptotic theory reveal the profound relationship between geometry and statistics. This thesis studies applications of convex ... 
Inferring Chemical Reaction Rates from a Sequence of Infrared Spectra
(University of Waterloo, 20160122)Many chemical compounds used by the energy and agricultural industries introduce large amounts of arsenic into the environment. As this poses serious health and environmental risks, designing safe and effective decontaminating ... 
Interactive Visualization and Exploration of HighDimensional Data
(University of Waterloo, 20160121)Visualizing data is an essential part of good statistical practice. Plots are useful for revealing structure in the data, checking model assumptions, detecting outliers and finding unanticipated patterns. Postanalysis ... 
Event History Analysis in Longitudinal Cohort Studies with Intermittent Inspection Times
(University of Waterloo, 20160120)Event history studies based on disease clinic data often face several complications. Specifically, patients visit the clinic irregularly, and the intermittent inspection times depend on the history of diseaserelated ... 
A Generalization of M/G/1 Priority Models via Accumulating Priority
(University of Waterloo, 20160108)Priority queueing systems are oftentimes set up so that arriving customers are placed into one of $N$ distinct priority classes. Moreover, to determine the order of service, each customer (upon arriving to the system) is ... 
A Copulabased Quantile Risk Measure Approach to Hedging under Regime Switching
(University of Waterloo, 20151016)In this thesis, our work builds on the future hedging strategy presented by Barbi and Romagnoli (2014). The authors propose the optimal hedge ratio as the minimizer of a generic quantile risk measure (QRM), which includes ... 
A Study on Longevity Risk Hedging in the Presence of Population Basis Risk
(University of Waterloo, 20150929)Longevity risk refers to uncertainty surrounding the trend in human life expectancy. Standardized hedging instruments that are linked to broadbased mortality indexes can be used to offload longevity risk from pension plans ... 
The Generalized Method of Moments for Mixture and Mixed Models
(University of Waterloo, 20150928)Mixture models can be found in a wide variety of statistical applications. However, undertaking statistical inference in mixture models, especially nonparametric mixture models, can be challenging. A general, or nonparametric, ... 
Performance of Dynamic Hedging Strategies for Cash Balance Pension Plans
(University of Waterloo, 20150928)Cash balance (CB) pension plans make up 25% of all defined benefit plans in the US. The benefits are accumulated at guaranteed crediting rates, the most popular choice is the yield on the 30year Treasury bond. In this ... 
Pairs Trading Based on Costationarity
(University of Waterloo, 20150925)Arbitrage is a widely sought after phenomenon in financial markets: profit without any risk is very desirable. Statistical arbitrage is a related concept: the idea is to take advantage of market inefficiencies using ... 
Optimal Trading Strategies for an Asset with Disordered Return
(University of Waterloo, 20150918)We explore various trading strategies from a mathematical and practical perspective. Using a geometric Brownian motion with a disorder to model asset price bubbles, we apply this model to multiple periods and explore the ... 
An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options
(University of Waterloo, 20150916)Counterparty credit risk management has become an important issue for financial institutions since the Basel III framework was introduced. Expected exposure (EE) is defined as the average (positive) exposure at a future ...