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

On Some Stochastic Optimal Control Problems in Actuarial Mathematics
(University of Waterloo, 20170117)The event of ruin (bankruptcy) has long been a core concept of risk management interest in the literature of actuarial science. There are two major research lines. The first one focuses on distributional studies of some ... 
Sparse Models in HighDimensional Dependence Modelling and Index Tracking
(University of Waterloo, 20170117)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 ... 
Estimating Riskadjusted Process Performance with a Bias/Variance Tradeoff
(University of Waterloo, 20170112)Decision makers responsible for managing the performance of a process commonly base their decisions on an estimate of present performance, a comparison of estimates across multiple streams, and the trend in performance ... 
Fractional Imputation for Ordinal and Mixedtype Responses with Missing Observations
(University of Waterloo, 20170112)This thesis addresses two essential aspects of large scale publicuse data files involving ordinal and mixedtype responses with missing observations: (i) the creation of single complete data sets with imputation for missing ... 
Conditional Scenario Generation with a GVAR Model
(University of Waterloo, 20161215)The stresstesting method formed an integral part of the practice of risk management. However, the underlying models for scenarios generation have not been much studied so far. In past practice, the users typically did ... 
Using Infinite Server Queues Theory In Stress Testing
(University of Waterloo, 20161205)In this thesis, we propose and study a framework to model stress testing, using an infinite server queues theory, such that this framework is aligned with and integrates several existing frameworks currently used in the ... 
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 ...