Browsing Statistics and Actuarial Science by Title
Now showing items 222-241 of 361
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On a 2-class polling model with reneging and ki -limited service
(Springer, 2018-06-18)This paper analyzes a 2-class, single-server polling model operating under a ki-limited service discipline with class-dependent switchover times. Arrivals to each class are assumed to follow a Poisson process with phase-type ... -
On a general mixed priority queue with server discretion
(Taylor & Francis, 2016-10-01)We consider a single-server queueing system which attends to N priority classes that are classified into two distinct types: (i) urgent: classes which have preemptive resume priority over at least one lower priority class, ... -
On estimands arising from misspecified semiparametric rate-based analysis of recurrent episodic conditions
(Wiley, 2019-11-10)Marginal rate-based analyses are widely used for the analysis of recurrent events in clinical trials. In many areas of application, the events are not instantaneous but rather signal the onset of a symptomatic episode ... -
On First Passage Time Related Problems for Some Insurance Risk Processes
(University of Waterloo, 2022-05-13)For many decades, the study of ruin theory has long been one of the central topics of interest in insurance risk management. Research in this area has largely focused on analyzing the insurer’s solvency risk, which is ... -
On imprecision in statistical theory
(University of Waterloo, 2022-01-06)This thesis provides an exploration of the interplay between imprecise probability and statistics. Mathematically, one may summarise this relationship as how (Bayesian) sensitivity analysis involving a set of (prior) models ... -
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 multiple random locations of stationary processes
(University of Waterloo, 2019-01-18)We generalize the concept of intrinsic location functionals to accommodate n=2 random locations, which we combine together in either sets or vectors. For the set-valued case of "intrinsic multiple-location functionals" we ... -
On Some Stochastic Optimal Control Problems in Actuarial Mathematics
(University of Waterloo, 2017-01-17)The event of ruin (bankruptcy) has long been a core concept of risk management interest in the literature of actuarial science. There are two major research lines. The first one focuses on distributional studies of some ... -
On some topics in Levy insurance risk models
(University of Waterloo, 2019-07-16)Risk management has long been the central focus within actuarial science. There are various risks a typical actuarial company would look into, solvency risk being one of them. This falls under the scope of surplus analysis. ... -
On the Automatic Coding of Text Answers to Open-ended Questions in Surveys
(University of Waterloo, 2021-01-13)Open-ended questions allow participants to answer survey questions without any constraint. Responses to open-ended questions, however, are more difficult to analyze quantitatively than close-ended questions. In this thesis, ... -
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 ... -
On the dynamics of infectious diseases in non-homogeneous populations
(University of Waterloo, 2008-09-26)The principal motivations for studying epidemics and their dynamics are understanding the biological characteristics of the epidemic agents and reducing the economical and social costs originating from epidemic outbreaks. The ... -
On the Extrema of Functions in the Takagi Class
(University of Waterloo, 2019-01-23)The Takagi class is a class of fractal functions on the unit interval generalizing the celebrated Takagi function. In this thesis, we study the extrema of these functions. This is a problem that goes back to J.-P. Kahane ... -
On the Number of Trials Needed to Obtain k Consecutive Successes
(Elsevier, 2021-04-30)A sequence of independent Bernoulli trials, each of which is a success with probability p, is conducted. For k ∈ Z+, let Xk be the number of trials required to obtain k consecutive successes. Using techniques from elementary ... -
On the roughness of paths and processes
(University of Waterloo, 2021-09-10)In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ... -
Optimal Execution Strategies: A Computational Finance Approach
(University of Waterloo, 2015-01-27)In today's competitive business environment, strategies relating to market forecasting, decision making and risk management have received a lot of attention. The empirical results reveal that the market movement is not ... -
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
(Elsevier, 2019-03)In this paper, we investigate the optimal time-consistent investment–reinsurance strategies for an insurer with state dependent risk aversion and Value-at-Risk (VaR) constraints. The insurer can purchase proportional ... -
Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates
(University of Waterloo, 2012-04-11)The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of portfolio optimization. In this model, parameters are estimated by their sample counterparts. ... -
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 ...