Browsing Statistics and Actuarial Science by Title
Now showing items 248-267 of 361
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Pairs Trading Based on Costationarity
(University of Waterloo, 2015-09-25)Arbitrage is a widely sought after phenomenon in financial markets: profit without any risk is very desirable. Statistical arbitrage is a related concept: the idea is to take advantage of market inefficiencies using ... -
Penalized Regression for Interval-Censored Times of Disease Progression: Selection of HLA Markers in Psoriatic Arthritis
(Wiley, 2015-09)Times of disease progression are interval-censored when progression status is only known at a series of assessment times. This situation arises routinely in clinical trials and cohort studies when events of interest are ... -
Peptide Sequencing with Deep Learning
(University of Waterloo, 2020-09-30)In shotgun proteomics, de novo peptide sequencing from tandem mass spectrometry data is the key technology for finding new peptide or protein sequences. It has successful applications in assembling monoclonal antibody ... -
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 ... -
Poissonian potential measures for Lévy risk models
(Elsevier, 2018-09-01)This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent ... -
Predicting epileptic seizures using nonlinear dynamics
(University of Waterloo, 2009-01-23)Epilepsy is a nervous system disorder which affects approximately 1% of the world's population. Nearly 25% of people who have epilepsy are resistant to traditional treatments such as medication and are not candidates for ... -
Prediction of recurrent events
(University of Waterloo, 2004)In this thesis, we will study issues related to prediction problems and put an emphasis on those arising when recurrent events are involved. First we define the basic concepts of frequentist and Bayesian statistical ... -
Prediction Performance of Survival Models
(University of Waterloo, 2008-09-12)Statistical models are often used for the prediction of future random variables. There are two types of prediction, point prediction and probabilistic prediction. The prediction accuracy is quantified by performance ... -
Preserving Measured Structure During Generation and Reduction of Multivariate Point Configurations
(University of Waterloo, 2018-05-30)Inherent in any multivariate data is structure, which describes the general shape and distribution of the underlying point configuration. While there are potentially many types of structure that could be of interest, ... -
Pricing and Hedging of Emerging Products in Finance and Insurance
(University of Waterloo, 2018-12-12)This thesis addresses the pricing and hedging issues on the newly-developed financial and insurance products, including simplified hedges for path-dependent options, variable annuities tied with state-dependent fees, and ... -
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 ... -
Pricing Asian Options by the Method of Moments Matching
(University of Waterloo, 2015-06-16)This Master's Thesis explores the method of moments matching for pricing Asian options. In this thesis, the underlying asset is assumed to be non-dividend paying and its price process either follows the standard geometric ... -
Pricing derivatives using Gram-Charlier Expansions
(University of Waterloo, 2013-04-22)In this thesis, we provide several applications of Gram-Charlier expansions in derivative pricing. We first give an exposition on how to calculate swaption prices under the the CIR2 model. Then we extend this method to ... -
A profit Sharing Pension Plan
(University of Waterloo, 2021-01-05)As Traditional Defined Benefit (DB) plans are declining, more companies are switching to Defined Contribution (DC) plans. However, DC plans have significant disadvantages since employees bear all investment and longevity ... -
Quadratic Hedging with Margin Requirements and Portfolio Constraints
(University of Waterloo, 2010-04-28)We consider a mean-variance portfolio optimization problem, namely, a problem of minimizing the variance of the final wealth that results from trading over a fixed finite horizon in a continuous-time complete market in the ... -
Quantitative Analysis of Extreme Risks and Extremal Dependence in Insurance and Finance
(University of Waterloo, 2019-09-25)In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in insurance and finance. We use regularly varying distribution functions in extreme value theory (EVT) to model extreme ... -
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 ... -
Random locations of periodic stationary processes
(Elsevier, 2019-03)We consider a family of random locations, called intrinsic location functionals, of periodic stationary processes. This family includes but is not limited to the location of the path supremum and first/last hitting times. ... -
Randomized quasi-Monte Carlo methods with applications to quantitative risk management
(University of Waterloo, 2022-05-03)We use randomized quasi-Monte Carlo (RQMC) techniques to construct computational tools for working with normal mixture models, which include automatic integration routines for density and distribution function evaluation, ... -
Recognizing Structural Nonidentifiability: When Experiments Do Not Provide Information About Important Parameters and Misleading Models Can Still Have Great Fit
(Wiley, 2020-02)In the quest to model various phenomena, the foundational importance of parameter identifiability to sound statistical modeling may be less well appreciated than goodness of fit. Identifiability concerns the quality of ...