Browsing Statistics and Actuarial Science by Subject "Actuarial Science"
Now showing items 21-40 of 42
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An introduction to Gerber-Shiu analysis
(University of Waterloo, 2011-09-30)A valuable analytical tool to understand the event of ruin is a Gerber-Shiu discounted penalty function. It acts as a unified means of identifying ruin-related quantities which may help insurers understand their vulnerability ... -
Lognormal Mixture Model for Option Pricing with Applications to Exotic Options
(University of Waterloo, 2012-08-23)The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied ... -
Markovian Approaches to Joint-life Mortality with Applications in Risk Management
(University of Waterloo, 2011-08-16)The combined survival status of the insured lives is a critical problem when pricing and reserving insurance products with more than one life. Our preliminary experience examination of bivariate annuity data from a large ... -
Multivariate Time Series Analysis of the Investment Guarantee in Canadian Segregated Fund Products
(University of Waterloo, 2008-05-23)In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to ... -
Notions of Dependence with Applications in Insurance and Finance
(University of Waterloo, 2013-08-02)Many insurance and finance activities involve multiple risks. Dependence structures between different risks play an important role in both theoretical models and practical applications. However, stochastic and actuarial ... -
On moments and related quantities in insurance surplus analysis
(University of Waterloo, 2014-08-15)In risk theory, the time to ruin is one of the central quantities. The Laplace transform, density and moments of the time to ruin have been studied by many authors under different risk model assumptions. The Gerber-Shiu ... -
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 ... -
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 ... -
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 ... -
Option Pricing and Hedging Analysis under Regime-switching Models
(University of Waterloo, 2013-04-23)This thesis explores option pricing and hedging in a discrete time regime-switching environment. If the regime risk cannot be hedged away, then we cannot ignore this risk and use the Black-Scholes pricing and hedging ... -
Performance of Dynamic Hedging Strategies for Cash Balance Pension Plans
(University of Waterloo, 2015-09-28)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 30-year Treasury bond. In this ... -
Pricing and Hedging the Guaranteed Minimum Withdrawal Benefits in Variable Annuities
(University of Waterloo, 2010-01-22)The Guaranteed Minimum Withdrawal Benefits (GMWBs) are optional riders provided by insurance companies in variable annuities. They guarantee the policyholders' ability to get the initial investment back by making periodic ... -
Queueing Analysis of a Priority-based Claim Processing System
(University of Waterloo, 2009-10-02)We propose a situation in which a single employee is responsible for processing incoming claims to an insurance company that can be classified as being one of two possible types. More specifically, we consider a priority-based ... -
A Review And Analysis Of The Sustainability And Equity Of Social Security Adjustment Mechanisms
(University of Waterloo, 2008-10-24)This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether ... -
Risk Measure Approaches to Partial Hedging and Reinsurance
(University of Waterloo, 2014-01-22)Hedging has been one of the most important topics in finance. How to effectively hedge the exposed risk draws significant interest from both academicians and practitioners. In a complete financial market, every ... -
Risk Measures and Optimal Reinsurance
(University of Waterloo, 2015-08-21)In this thesis, we study the optimal reinsurance design problem and extend the classical model in three different directions: (1) In the first framework, we add the additional assumption that the reinsurer can default ... -
Stochastic Mortality Models with Applications in Financial Risk Management
(University of Waterloo, 2007-06-18)In product pricing and reserving, actuaries are often required to make predictions of future death rates. In the past, this has been performed by using deterministic improvement scales that give only a single mortality ... -
A Study on Longevity Risk Hedging in the Presence of Population Basis Risk
(University of Waterloo, 2015-09-29)Longevity risk refers to uncertainty surrounding the trend in human life expectancy. Standardized hedging instruments that are linked to broad-based mortality indexes can be used to offload longevity risk from pension plans ... -
Topics in Delayed Renewal Risk Models
(University of Waterloo, 2007-08-03)Main focus is to extend the analysis of the ruin related quantities, such as the surplus immediately prior to ruin, the deficit at ruin or the ruin probability, to the delayed renewal risk models. First, the background ...