Browsing Statistics and Actuarial Science by Title
Now showing items 230-249 of 365
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On multiple random locations of stationary processes
(University of Waterloo, 2019-01-18)We generalize the concept of intrinsic location functionals to accommodate n=2 random locations, which we combine together in either sets or vectors. For the set-valued case of "intrinsic multiple-location functionals" we ... -
On Some Stochastic Optimal Control Problems in Actuarial Mathematics
(University of Waterloo, 2017-01-17)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 ... -
On some topics in Levy insurance risk models
(University of Waterloo, 2019-07-16)Risk management has long been the central focus within actuarial science. There are various risks a typical actuarial company would look into, solvency risk being one of them. This falls under the scope of surplus analysis. ... -
On the Automatic Coding of Text Answers to Open-ended Questions in Surveys
(University of Waterloo, 2021-01-13)Open-ended questions allow participants to answer survey questions without any constraint. Responses to open-ended questions, however, are more difficult to analyze quantitatively than close-ended questions. In this thesis, ... -
On the distribution of the time to ruin and related topics
(University of Waterloo, 2013-07-10)Following the introduction of the discounted penalty function by Gerber and Shiu (1998), significant progress has been made on the analysis of various ruin-related quantities in risk theory. As we know, the discounted ... -
On the dynamics of infectious diseases in non-homogeneous populations
(University of Waterloo, 2008-09-26)The principal motivations for studying epidemics and their dynamics are understanding the biological characteristics of the epidemic agents and reducing the economical and social costs originating from epidemic outbreaks. The ... -
On the Extrema of Functions in the Takagi Class
(University of Waterloo, 2019-01-23)The Takagi class is a class of fractal functions on the unit interval generalizing the celebrated Takagi function. In this thesis, we study the extrema of these functions. This is a problem that goes back to J.-P. Kahane ... -
On the Number of Trials Needed to Obtain k Consecutive Successes
(Elsevier, 2021-04-30)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, 2021-09-10)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 ... -
Optimal Execution Strategies: A Computational Finance Approach
(University of Waterloo, 2015-01-27)In today's competitive business environment, strategies relating to market forecasting, decision making and risk management have received a lot of attention. The empirical results reveal that the market movement is not ... -
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
(Elsevier, 2019-03)In this paper, we investigate the optimal time-consistent investment–reinsurance strategies for an insurer with state dependent risk aversion and Value-at-Risk (VaR) constraints. The insurer can purchase proportional ... -
Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates
(University of Waterloo, 2012-04-11)The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of portfolio optimization. In this model, parameters are estimated by their sample counterparts. ... -
Optimal Reinsurance Designs: from an Insurer’s Perspective
(University of Waterloo, 2009-09-30)The research on optimal reinsurance design dated back to the 1960’s. For nearly half a century, the quest for optimal reinsurance designs has remained a fascinating subject, drawing significant interests from both academicians ... -
Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria
(University of Waterloo, 2008-12-02)Quota-share and stop-loss/excess-of-loss reinsurances are two important reinsurance strategies. An important question, both in theory and in application, is to determine optimal retentions for these reinsurances. In ... -
Optimal Retirement Planning: Scenario Generation, Preferences, and Objectives
(University of Waterloo, 2018-09-20)The global trend of shifting from defined benefit (DB) to defined contribution (DC) workplace pension plans is putting growing pressure on individuals to take more ownership in retirement planning and financial decision-making. ... -
Optimal Strategies with Tail Correlation Constraints
(University of Waterloo, 2014-05-16)Optimal strategies under worst-case scenarios have been studied in Bernard et al. [2013a]. Bernard et al. utilize copulas to construct cost-efficient strategies with a predefined dependence structure in the tail between ... -
Optimal Trading Strategies for an Asset with Disordered Return
(University of Waterloo, 2015-09-18)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 ... -
The optimality of a dividend barrier strategy for Levy insurance risk processes, with a focus on the univariate Erlang mixture
(University of Waterloo, 2011-08-31)In insurance risk theory, the surplus of an insurance company is modelled to monitor and quantify its risks. With the outgo of claims and inflow of premiums, the insurer needs to determine what financial portfolio ensures ... -
Optimization of Policy Evaluation and Policy Improvement Methods in Portfolio Optimization using Quasi-Monte Carlo Methods
(University of Waterloo, 2024-05-24)Machine learning involves many challenging integrals that can be estimated using numerical methods. One application of these methods which has been explored in recent work is the estimation of policy gradients for ... -
An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options
(University of Waterloo, 2015-09-16)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 ...