Browsing Statistics and Actuarial Science by Title
Now showing items 292-311 of 361
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Sample size and robust marginal methods for cluster-randomized trials with censored event times
(Wiley, 2015-03-15)In cluster-randomized trials, intervention effects are often formulated by specifying marginal models, fitting them under a working independence assumption, and using robust variance estimates to address the association ... -
Score tests based on a finite mixture model of Markov processes under intermittent observation
(Wiley, 2019-07-20)A mixture model is described, which accommodates different Markov processes governing disease progression in a finite set of latent classes. We give special attention to the setting in which individuals are examined ... -
Score Tests for Association Under Response-dependent Sampling Designs for Expensive Covariates
(Oxford Journals, 2015-11-27)Response-dependent sampling is widely used in settings where certain variables are expensive to obtain. Estimation has been thoroughly investigated but recent applications have emphasized tests of association for expensive ... -
Selected Topics in Variable Annuities
(University of Waterloo, 2021-06-22)Variable annuities are long-term insurance products. They have become one of the most popular savings/investment vehicles over the past two decades due to their flexible investment options, stable long-term guarantees, and ... -
Selection models for efficient two-phase design of family studies
(John Wiley & Sons, Ltd., 2021-01-30)Family studies routinely employ biased sampling schemes in which individuals are randomly chosen from a disease registry and genetic and phenotypic data are obtained from their consenting relatives. We view this as a ... -
Semiparametric Empirical Likelihood Inference under Two-sample Density Ratio Models
(University of Waterloo, 2021-08-27)The semiparametric density ratio model (DRM) provides a flexible and useful platform for combining information from multiple sources. It has been widely used in many fields. This thesis considers several important inference ... -
Semiparametric inference on the means of multiple nonnegative distributions with excess zero observations
(Elsevier, 2018-07-01)A non-standard, but not uncommon, situation is to observe multiple samples of nonnegative data which have a high proportion of zeros. This is the so-called excess of zeros situation and this paper looks at the problem of ... -
Semiparametric Methods for the Analysis of Progression-Related Endpoints
(University of Waterloo, 2013-05-22)Use of progression-free survival in the evaluation of clinical interventions is hampered by a variety of issues, including censoring patterns not addressed in the usual methods for survival analysis. Progression can be ... -
Semiparametric recurrent event vs time-to-first-event analyses in randomized trials: Estimands and model misspecification
(John Wiley & Sons Ltd., 2021-04-20)Insights regarding the merits of recurrent event and time-to-first-event analyses are needed to provide guidance on strategies for analyzing intervention effects in randomized trials involving recurrent event responses. ... -
Several Mathematical Problems in Investment Management
(University of Waterloo, 2023-08-21)This thesis studies four mathematical problems in investment management. All four problems arise from practical challenges and are data-driven. Chapter 2 investigates the Kelly portfolio strategy. The full Kelly strategy's ... -
Sieve estimation in a Markov illness-death process under dual censoring
(Oxford Journals, 2016-02-29)Semiparametric methods are well-established for the analysis of a progressive Markov illness-death process observed up to a noninformative right censoring time. However often the intermediate and terminal events are ... -
Single-Particle Dynamics in Nanoscopic Systems: Statistical Modeling and Inference
(University of Waterloo, 2022-05-24)Our work aims to solve some of the most significant and fundamental theoretical problems involved in the current statistical modeling of stochastic processes in single-molecule experiments, for which a well recognized yet ... -
Social Networks, Asset Allocation and Portfolio Diversification
(University of Waterloo, 2015-02-18)In this thesis we consider the problem of choosing financial assets from the equity markets for portfolio construction purposes. We adapt various measures to model the dependence structure among financial assets, taking ... -
Some Models and Tests for Carryover Effects and Trends in Recurrent Event Processes
(University of Waterloo, 2010-09-30)Recurrent events experienced by individual units or systems occur in many fields. The main target of this thesis is to develop formal tests for certain features of recurrent event processes, and to discuss their properties. ... -
Some Results on Multivariate Dependence Modeling
(University of Waterloo, 2015-01-14)The goal of this thesis is to solve some problems in dependence modeling. Under special assumptions, we use Tankov [2011]’s result to give sharp bounds on variance of the sum of two random variables with partial information ... -
Some Stochastic Optimization Problems in Reinsurance and Insurance
(University of Waterloo, 2021-01-12)Insurance, which hedges against the risk of a contingent loss, is an indispensable risk management tool for both institutions and individuals. Reinsurance, namely, a form of insurance accessible to insurers, helps limit ... -
Sovereign Credit Risk Analysis for Selected Asian and European Countries
(University of Waterloo, 2013-05-21)We analyze the nature of sovereign credit risk for selected Asian and European countries through a set of sovereign CDS data for an eighty-year period that includes the episode of the 2008-2009 financial crisis. Our ... -
Sparse Models in High-Dimensional Dependence Modelling and Index Tracking
(University of Waterloo, 2017-01-17)This thesis is divided into two parts. The first part proposes parsimonious models to the vine copula. The second part is devoted to the index tracking problem. Vine copulas provide a flexible tool to capture asymmetry ... -
State-dependent Modeling of Default Rates
(University of Waterloo, 2021-09-29)Risk-weight function is the most popular formula for banking regulations used to calculate the amount of backup deposit that banks need to hold in order to bear extraordinary losses. The model behind the formula was ... -
Static and Dynamic Modelling of Credit Default Risk: Tails, Moments, and Calibration
(University of Waterloo, 2014-08-26)Credit risk modelling can take many different approaches. Each method has its strengths and weaknesses and studying a variety of them can help find new ways of performing credit risk analysis. We present here three different ...