Browsing Statistics and Actuarial Science by Title
Now showing items 34-53 of 361
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Bayesian Inference for Stochastic Volatility Models
(University of Waterloo, 2012-09-26)Stochastic volatility (SV) models provide a natural framework for a representation of time series for financial asset returns. As a result, they have become increasingly popular in the finance literature, although they ... -
Bayesian Sample Size Determination for Single-Particle Tracking of Pathogens in Biological Fluids
(University of Waterloo, 2018-01-17)Single-particle tracking (SPT) experiments measure 2-dimensional particle position with a high-resolution digital camera, capturing microsecond motion. SPT has allowed novel investigation of membrane dynamics, enzymology, ... -
Bias in the Estimate of a Mean Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process
(University of Waterloo, 2017-01-19)In this thesis we studied the estimation bias of the least squares estimate of the mean reversion parameter, when the underlying dynamics is governed by fractional Brownian motions. Fractional Brownian motion is a ... -
The Black-Scholes and Heston Models for Option Pricing
(University of Waterloo, 2013-05-22)Stochastic volatility models on option pricing have received much study following the discovery of the non-at implied surface following the crash of the stock markets in 1987. The most widely used stochastic volatility ... -
Bounds on Aggregate Assets
(University of Waterloo, 2014-01-23)Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ... -
Budget-Constrained Optimal Insurance with an Upper Limit on the Insurer's Exposure
(University of Waterloo, 2021-01-13)This thesis studies the problem of budget-constrained optimal insurance indemnification when the insurer imposes an upper limit on disbursement. In balancing the trade-off between the cost of paying the insurance premium ... -
Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
(Elsevier, 2019-01)In a problem of Pareto-efficient insurance contracting (bilateral risk sharing) with expected-utility preferences, Gollier (1987) relaxes the nonnegativity constraint on indemnities and argues that the existence of a ... -
Causal Inference and Matrix Completion with Correlated Incomplete Data
(University of Waterloo, 2023-01-19)Missing data problems are frequently encountered in biomedical research, social sciences, and environmental studies. When data are missing completely at random, a complete-case analysis may be the easiest approach. However, ... -
Causal Inference with Covariate Balance Optimization
(University of Waterloo, 2018-12-04)Causal inference is a popular problem in biostatistics, economics, and health science studies. The goal of this thesis is to develop new methods for the estimation of causal effects using propensity scores or inverse ... -
Causal Inference with Measurement Error
(University of Waterloo, 2018-05-04)Causal inference methods have been widely used in biomedical sciences and social sciences, among many others. With different assumptions, various methods have been proposed to conduct causal inference with interpretable ... -
Causal Inference with Recurrent Data via Propensity Score Methods
(University of Waterloo, 2019-01-07)Propensity score methods are increasingly being used to reduce estimation bias of treatment effects for observational studies. Previous research has shown that propensity score methods consistently estimate the marginal ... -
Change Point Analysis in Piecewise Polynomial Signals Using Trend Filtering
(University of Waterloo, 2021-09-27)Change point analysis, an active area of research in many fields, including statistics, has attracted a lot of attention in recent years. The focus of this thesis is change point detection, where the purpose is to estimate ... -
Characterizing, optimizing and backtesting metrics of risk
(University of Waterloo, 2023-07-12)Measures of risk and riskmetrics were proposed to quantify the risks people are faced with in financial, statistical, and economic practice. They are widely discussed and studied by literature in the context of financial ... -
Climate Change Risk in Stock Markets
(University of Waterloo, 2020-01-20)Climate change is becoming a common threat to the world and has been studied by scholars in various fields. In the field of finance, many papers have discussed financial market efficiency toward climate change in order to ... -
Coherent Beta Risk Measures for Capital Requirements
(University of Waterloo, 1999)This thesis compares insurance premium principles with current financial risk paradigms and uses distorted probabilities, a recent development in premium principle literature, to synthesize the current models for financial ... -
Coherent Distortion Risk Measures in Portfolio Selection
(University of Waterloo, 2011-08-30)The theme of this thesis relates to solving the optimal portfolio selection problems using linear programming. There are two key contributions in this thesis. The first contribution is to generalize the well-known linear ... -
Cohort study design for illness-death processes with disease status under intermittent observation
(Taylor & Francis, 2019-12-12)Cohort studies are routinely conducted to learn about the incidence or progression rates of chronic diseases. The illness-death model offers a natural framework for joint consideration of non-fatal events in the semi-competing ... -
Combination of Levene-Type Tests and a Finite-Intersection Method for Testing Trends in Variances
(University of Waterloo, 2009-04-30)The problem of detecting monotonic increasing/decreasing trends in variances from k samples is widely met in many applications, e.g. financial data analysis, medical and environmental studies. However, most of the tests ... -
Comparing Distributions with the Probability of Agreement
(University of Waterloo, 2021-06-03)In this thesis we adapt the probability of agreement (PoA) methodology for the comparison of distributions. Most of the commonly used methods for comparing distributions are rooted in hypothesis testing where decisions are ... -
Compatibility Problems of Probability Measures for Stochastic Processes
(University of Waterloo, 2018-07-27)In this thesis, we address three topics in the area of compatibility for probability measures. By "compatibility", we mean the problems concerning the existence of random variables/stochastic processes which generate certain ...