Browsing Statistics and Actuarial Science by Title
Now showing items 135-154 of 365
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Funding Liquidity and Limits to Arbitrage
(University of Waterloo, 2012-06-14)Arbitrageurs play an important role in keeping market prices close to their fundamental values by providing market liquidity. Most arbitrageurs however use leverage. When funding conditions worsen they are forced to ... -
FX Spot Trading and Risk Management from A Market Maker’s Perspective
(University of Waterloo, 2011-08-29)Due to the rapid development of computing technology and faster growth of financial industry, Foreign Exchange high-frequency trading has become substantially more prominent to today's market players, especially to bankers ... -
General Quadratic Risk Minimization: a Variational Approach
(University of Waterloo, 2016-07-05)Mean-variance portfolio selection and mean-variance 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 ... -
A Generalization of M/G/1 Priority Models via Accumulating Priority
(University of Waterloo, 2016-01-08)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 Generalization of the Discounted Penalty Function in Ruin Theory
(University of Waterloo, 2008-08-21)As ruin theory evolves in recent years, there has been a variety of quantities pertaining to an insurer's bankruptcy at the centre of focus in the literature. Despite the fact that these quantities are distinct from each ... -
Generalizations and Applications of the Stochastic Block Model to Basketball Games and Variable Selection Problems
(University of Waterloo, 2017-01-24)Over the past decade, there has been an explosion of network data in a vast number of circumstances, such as the World Wide Web, social networks, gene interactions, economic networks, etc. Scientific analysis of networks ... -
Generalizations to Corrections of Measurement Error Effects for Dynamic Treatment Regimes
(University of Waterloo, 2022-08-19)Measurement error is a pervasive issue in questions of estimation and inference. Generally, any data which are measured with error will render the results of an analysis which ignores this error unreliable. This is a ... -
The Generalized Method of Moments for Mixture and Mixed Models
(University of Waterloo, 2015-09-28)Mixture models can be found in a wide variety of statistical applications. However, undertaking statistical inference in mixture models, especially non-parametric mixture models, can be challenging. A general, or nonparametric, ... -
Gerber-Shiu analysis in some dependent Sparre Andersen risk models
(University of Waterloo, 2010-08-11)In this thesis, we consider a generalization of the classical Gerber-Shiu function in various risk models. The generalization involves introduction of two new variables in the original penalty function including the surplus ... -
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
(Elsevier, 2017-10-01)We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, ... -
Hierarchical Hidden Markov Model of High-Frequency Market Regimes using Trade Price and Limit Order Book Information
(University of Waterloo, 2011-05-05)Over the last fifty years financial markets have seen an enormous expansion and development both in size and variety. An industry that was once small and secluded has transformed into an essential part of today’s economy. ... -
High-dimensional discriminant analysis and covariance matrix estimation
(University of Waterloo, 2017-12-21)Statistical analysis in high-dimensional settings, where the data dimension p is close to or larger than the sample size n, has been an intriguing area of research. Applications include gene expression data analysis, ... -
Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement
(University of Waterloo, 2011-01-20)While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences ... -
House Price Risk in Mortgage Contracts
(University of Waterloo, 2016-01-25)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 ... -
Hypothesis Testing in Finite Mixture Models
(University of Waterloo, 2007-12-14)Mixture models provide a natural framework for unobserved heterogeneity in a population. They are widely applied in astronomy, biology, engineering, finance, genetics, medicine, social sciences, and other areas. An ... -
Identifying patterns of alcohol use among secondary school students in Canada: A multilevel latent class analysis
(Elsevier, 2020-01)Harm from alcohol use depend not only on the volume of consumption but also on drinking patterns. This study identifies patterns of alcohol consumption in youth and investigates how these patterns vary across schools and ... -
The illness-death model for family studies
(Oxford University Press, 2021-07)Family studies involve the selection of affected individuals from a disease registry who provide right-truncated ages of disease onset. Coarsened disease histories are then obtained from consenting family members, either ... -
Implied Volatility Modelling
(University of Waterloo, 2014-01-08)We propose extensions on calibrating the volatility surface through multi-factor regression models. The proposed models are back-tested against the historical S&P 500 prices during both the volatile and non-volatile periods ... -
Importance Sampling and Stratification for Copula Models
(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 ... -
Importance Sampling and Stratification Techniques for Multivariate Models with Low-Dimentional Structures
(University of Waterloo, 2017-12-22)Many problems in finance and risk management involve the computation of quantities related to rare-event analysis. As many financial problems are high-dimensional, the quan- tities of interest rarely have analytical forms ...