Browsing Statistics and Actuarial Science by Title
Now showing items 186-205 of 366
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Martingale Property and Pricing for Time-homogeneous Diffusion Models in Finance
(University of Waterloo, 2013-08-09)The thesis studies the martingale properties, probabilistic methods and efficient unbiased Monte Carlo simulation methods for various time-homogeneous diffusion models commonly used in mathematical finance. Some of the ... -
A mathematical foundation for the use of cliques in the exploration of data with navigation graphs
(University of Waterloo, 2023-01-19)Navigation graphs were introduced by Hurley and Oldford (2011) as a graph-theoretic framework for exploring data sets, particularly those with many variables. They allow the user to visualize one small subset of the variables ... -
Matrix analytic methods for computations in risk theory
(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 ... -
Matrix-Variate Regression with Measurement Error
(University of Waterloo, 2020-09-28)Matrix-variate regression models are useful for featuring data with a matrix structure, such as brain imaging data. However, those methods do not apply to data with measurement error or misclassification. While mismeasurement ... -
Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
(Elsevier, 2019-03)The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statistical properties of the maximum likelihood estimator (MLE) accounting ... -
Measurement Error and Misclassification in Interval-Censored Life History Data
(University of Waterloo, 2007-05-04)In practice, data are frequently incomplete in one way or another. It can be a significant challenge to make valid inferences about the parameters of interest in this situation. In this thesis, three problems involving ... -
Measurement System Assessment Studies for Multivariate and Functional Data
(University of Waterloo, 2024-04-15)A measurement system analysis involves understanding and quantifying the variability in measurement data attributed to the measurement system. A primary goal of such analyses is to assess the measurement system's impact ... -
Measures for risk, dependence and diversification
(University of Waterloo, 2024-06-20)Two primary tasks in quantitative risk management are measuring risk and managing risk. Risk measures and dependence modeling are important tools for assessing portfolio risk, which have gained much interest in the literature ... -
Methods for longitudinal data measured at distinct time points
(University of Waterloo, 2010-09-30)For longitudinal data where the response and time-dependent predictors within each individual are measured at distinct time points, traditional longitudinal models such as generalized linear mixed effects models or ... -
Methods for Merging, Parsimony and Interpretability of Finite Mixture Models
(University of Waterloo, 2022-08-04)To combat the increasing data dimensionality, parsimonious modelling for finite mixture models has risen to be an active research area. These modelling frameworks offer various constraints that can reduce the number of ... -
Methods in Functional Data Analysis: Forecast Evaluation, Robust Serial Dependence Measures, and a Spatial Factor Copula Model
(University of Waterloo, 2023-09-05)With advancements in technology, new types of data have become available, including functional data, which observations in the form of functions or curves rather than scalar or vector-valued quantities. This emerging area ... -
Mitigating bias from intermittent measurement of time-dependent covariates in failure time analysis
(Wiley, 2020-06-15)Cox regression models are routinely fitted to examine the association between time-dependent markers and a failure time when analyzing data from clinical registries. Typically, the marker values are measured periodically ... -
A mixture model for bivariate interval-censored failure times with dependent susceptibility
(Springer, 2020-03-07)Interval-censored failure times arise when the status with respect to an event of interest is only determined at intermittent examination times. In settings where there exists a sub-population of individuals who are not ... -
Mixture Models for Coarsened Multivariate Failure Time Data
(University of Waterloo, 2018-08-13)The aim of this thesis is to develop statistical methodology for the analysis of life history data under incomplete observation schemes and with latent features which must be accom- modated to ensure models provide a ... -
A model for deceased-donor transplant queue waiting times
(Springer, 2015-01-01)In many jurisdictions, organ allocation is done on the basis of the health status of the patient, either explicitly or implicitly. This paper presents a self-promoting priority queueing model for patient waiting times which ... -
Modeling and Managing Longevity Risk: Models and Applications
(University of Waterloo, 2016-07-20)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 ... -
Modeling and Prediction of Disease Processes Subject to Intermittent Observation
(University of Waterloo, 2016-07-21)This thesis is concerned with statistical modeling and prediction of disease processes subject to intermittent observation. Times of disease progression are interval-censored when progression status is only known at a ... -
Modeling Dynamic Network with Centrality-based Logistic Regression
(University of Waterloo, 2011-09-29)Statistical analysis of network data is an active field of study, in which researchers inves- tigate graph-theoretic concepts and various probability models that explain the behaviour of real networks. This thesis attempts ... -
Modelling Issues in Three-state Progressive Processes
(University of Waterloo, 2001)This dissertation focuses on several issues pertaining to three-state progressive stochastic processes. Casting survival data within a three-state framework is an effective way to incorporate intermediate events into an ... -
Mortality Prediction using Statistical Learning Approaches
(University of Waterloo, 2022-11-21)Longevity risk, as one of the major risks faced by insurers, has triggered a heated stream of research in mortality modeling among actuaries for effective design/pricing/risk management of insurance products. The idea of ...