Browsing Statistics and Actuarial Science by Title
Now showing items 262-281 of 361
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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 ... -
Regime Switching and Technical Trading with Dynamic Bayesian Networks in High-Frequency Stock Markets
(University of Waterloo, 2009-05-23)Technical analysis has been thwarted in academic circles, due to the Efficient Market Hypothesis, which had significant empirical support early on. However recently, there is accumulating evidence that the markets are not ... -
Regression with incomplete covariates and left-truncated time-to-event data
(Wiley, 2013)Studies of chronic diseases routinely sample individuals subject to conditions on an event time of interest. In epidemiology, for example, prevalent cohort studies aiming to evaluate risk factors for survival following ... -
Regression with incomplete multivariate surrogate responses for a latent covariate
(Taylor & Francis, 2020-07-29)We consider the setting in which a categorical exposure variable of interest can only be measured subject to misclassification via surrogate variables. These surrogate variables may represent the classification of an ... -
Regularized Autoregressive Approximation in Time Series
(University of Waterloo, 2008-05-25)In applications, the true underlying model of an observed time series is typically unknown or has a complicated structure. A common approach is to approximate the true model by autoregressive (AR) equation whose orders are ... -
Response-dependent two-phase sampling designs for biomarker studies
(Wiley, 2014)Two-phase sampling designs are developed and investigated for use in the context of a rheumatology study where interest lies in the association between a biomarker with an expensive assay and disease progression. We ... -
A Review And Analysis Of The Sustainability And Equity Of Social Security Adjustment Mechanisms
(University of Waterloo, 2008-10-24)This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether ... -
Risk Allocation in Hybrid Pension Plans
(University of Waterloo, 2019-09-18)Three different hybrid designs are considered in this thesis. Chapter 1 studies the risk management of Cash Balance (CB) pension plans, which are the most popular hybrid plans in the U.S. We show that the simple delta and ... -
Risk Analysis: Measures of concordance, their compatibility and capital allocation
(University of Waterloo, 2020-08-20)This thesis addresses various topics in the field of probability theory and statistics with applications in quantitative risk management. The first topic concerns matrix compatibility and attainability problems for ... -
Risk Management with Basis Risk
(University of Waterloo, 2018-06-19)Basis risk occurs naturally in a variety of financial and actuarial applications, and it introduces additional complexity to the risk management problems. Current literature on quantifying and managing basis risk is still ... -
Risk Management with Non-Convex and Non-Monotone Preferences
(University of Waterloo, 2019-06-24)This thesis studies two types of problems, the theory of risk functionals and the risk sharing problem. We put a special focus on a class of non-monotone law-invariant risk functionals, called the signed Choquet integrals. The ... -
Risk Measure Approaches to Partial Hedging and Reinsurance
(University of Waterloo, 2014-01-22)Hedging has been one of the most important topics in finance. How to effectively hedge the exposed risk draws significant interest from both academicians and practitioners. In a complete financial market, every ... -
Risk Measurement under Dependence Structure Ambiguity
(University of Waterloo, 2022-01-27)In this thesis, we work on a generalization of the entropy regularized optimal transport problem, with the objective function being (spectral) risk measures. We accomplish three goals: to present the corresponding dual ... -
Risk Measures and Capital Allocation Principles for Risk Management
(University of Waterloo, 2016-09-21)Risk measures (or premium principles) and capital allocation principles play a signi cant role in risk management. Regulators and companies in the nancial markets usually adopt an appropriate risk measure, for example, ... -
Risk Measures and Optimal Reinsurance
(University of Waterloo, 2015-08-21)In this thesis, we study the optimal reinsurance design problem and extend the classical model in three different directions: (1) In the first framework, we add the additional assumption that the reinsurer can default ...