Browsing Statistics and Actuarial Science by Title
Now showing items 1-20 of 361
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A 2-class maintenance model with dynamic server behavior
(Springer, 2019-04-29)We analyze a 2-class maintenance system within a single-server polling model framework. There are C+f machines in the system, where C is the cap on the number of machines that can be turned on simultaneously (and hence, ... -
Actuarial Inference and Applications of Hidden Markov Models
(University of Waterloo, 2011-08-17)Hidden Markov models have become a popular tool for modeling long-term investment guarantees. Many different variations of hidden Markov models have been proposed over the past decades for modeling indexes such as the S&P ... -
Actuarial Ratemaking in Agricultural Insurance
(University of Waterloo, 2015-08-06)A scientific agricultural (re)insurance pricing approach is essential for maintaining sustainable and viable risk management solutions for different stakeholders including farmers, governments, insurers, and reinsurers. ... -
Adaptive policies and drawdown problems in insurance risk models
(University of Waterloo, 2015-08-31)Ruin theory studies an insurer's solvency risk, and to quantify such a risk, a stochastic process is used to model the insurer's surplus process. In fact, research on ruin theory dates back to the pioneer works of Lundberg ... -
Algorithmic Analysis of a General Class of Discrete-based Insurance Risk Models
(University of Waterloo, 2013-08-28)The aim of this thesis is to develop algorithmic methods for computing particular performance measures of interest for a general class of discrete-based insurance risk models. We build upon and generalize the insurance ... -
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
(Elsevier, 2018-03-01)This paper provides a derivative-based optimal investment strategy for an ambiguity-adverse pension investor who faces not only risks from time-varying income and market return volatility but also uncertain economic ... -
Analysis of a Threshold Strategy in a Discrete-time Sparre Andersen Model
(University of Waterloo, 2007-09-26)In this thesis, it is shown that the application of a threshold on the surplus level of a particular discrete-time delayed Sparre Andersen insurance risk model results in a process that can be analyzed as a doubly ... -
Analysis of Correlated Data with Measurement Error in Responses or Covariates
(University of Waterloo, 2010-09-30)Correlated data frequently arise from epidemiological studies, especially familial and longitudinal studies. Longitudinal design has been used by researchers to investigate the changes of certain characteristics over time ... -
Analysis of duration data from longitudinal surveys subject to loss to follow-up
(University of Waterloo, 2010-09-30)Data from longitudinal surveys give rise to many statistical challenges. They often come from a vast, heterogeneous population and from a complex sampling design. Further, they are usually collected retrospectively at ... -
Analysis of Financial Data using a Difference-Poisson Autoregressive Model
(University of Waterloo, 2011-05-17)Box and Jenkins methodologies have massively contributed to the analysis of time series data. However, the assumptions used in these methods impose constraints on the type of the data. As a result, difficulties arise when ... -
Analysis of interval-censored recurrent event processes subject to resolution
(Wiley, 2015-09)Interval-censored recurrent event data arise when the event of interest is not readily observed but the cumulative event count can be recorded at periodic assessment times. In some settings, chronic disease processes may ... -
Analysis of Islamic Stock Indices
(University of Waterloo, 2009-04-29)In this thesis, an attempt is made to build on the quantitative research in the field of Islamic Finance. Firstly, univariate modelling using special GARCH-type models is performed on both the FTSE All World and FTSE ... -
Analysis of Longitudinal Surveys with Missing Responses
(University of Waterloo, 2008-09-12)Longitudinal surveys have emerged in recent years as an important data collection tool for population studies where the primary interest is to examine population changes over time at the individual level. The National ... -
Analysis of Multi-State Models with Mismeasured Covariates or Misclassified States
(University of Waterloo, 2015-05-22)Multi-state models provide a useful framework for estimating the rate of transitions between defined disease states and understanding the influence of covariates on transitions in studies of the disease progression. ... -
Analysis of some risk models involving dependence
(University of Waterloo, 2010-08-12)The seminal paper by Gerber and Shiu (1998) gave a huge boost to the study of risk theory by not only unifying but also generalizing the treatment and the analysis of various risk-related quantities in one single mathematical ... -
Analysis of Time Dependent Aggregate Claims
(University of Waterloo, 2016-07-22)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 ... -
Application of Block Sieve Bootstrap to Change-Point detection in time series
(University of Waterloo, 2010-08-31)Since the introduction of CUSUM statistic by E.S. Page (1951), detection of change or a structural break in time series has gained significant interest as its applications span across various disciplines including economics, ... -
An Application of Matrix Analytic Methods to Queueing Models with Polling
(University of Waterloo, 2019-08-23)We review what it means to model a queueing system, and highlight several components of interest which govern the behaviour of customers, as well as the server(s) who tend to them. Our primary focus is on polling systems, ... -
Applications of claim investigation in insurance surplus and claims models
(University of Waterloo, 2018-01-03)Claim investigation is a fundamental part of an insurer's business. Queues form as claims accumulate and claims are investigated according to some queueing mechanism. The natural existence of queues in this context prompts ... -
Applications of Geometry in Optimization and Statistical Estimation
(University of Waterloo, 2016-01-25)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 ...