Browsing Statistics and Actuarial Science by Title
Now showing items 210-229 of 363
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Multistate Models for Biomarker Processes
(University of Waterloo, 2014-08-25)Multistate models are widely used for describing life history processes. In studies where individuals are observed continuously, the transition times between states are known exactly. However, when individuals are observed ... -
Multivariate First-Passage Models in Credit Risk
(University of Waterloo, 2008-10-17)This thesis deals with credit risk modeling and related mathematical issues. In particular we study first-passage models for credit risk, where obligors default upon first passage of a ``credit quality" process to ... -
Multivariate Longitudinal Data Analysis with Mixed Effects Hidden Markov Models
(University of Waterloo, 2013-01-24)Longitudinal studies, where data on study subjects are collected over time, is increasingly involving multivariate longitudinal responses. Frequently, the heterogeneity observed in a multivariate longitudinal response can ... -
Multivariate Multiscale Analysis of Neural Spike Trains
(University of Waterloo, 2013-12-17)This dissertation introduces new methodologies for the analysis of neural spike trains. Biological properties of the nervous system, and how they are reflected in neural data, can motivate specific analytic tools. Some of ... -
Multivariate Risk Measures for Portfolio Risk Management
(University of Waterloo, 2021-01-29)In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ... -
Multivariate Time Series Analysis of the Investment Guarantee in Canadian Segregated Fund Products
(University of Waterloo, 2008-05-23)In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to ... -
A new framework for clustering
(University of Waterloo, 2010-04-07)The difficulty of clustering and the variety of clustering methods suggest the need for a theoretical study of clustering. Using the idea of a standard statistical framework, we propose a new framework for clustering. ... -
New Methods for Improving Accuracy in Three Distinct Predictive Modeling Problems
(University of Waterloo, 2018-08-22)People are often interested in predicting a new or future observation. In clinical prediction, the uptake of Electronic Health Records (EHRs) has generated massive health datasets that are big in volume and diverse in ... -
A new perspective on loss to follow-up in failure time and life history studies
(Wiley, 2019-07-24)A framework is proposed for the joint modeling of life history and loss to follow-up (LTF) processes in cohort studies. This framework provides a basis for discussing independence conditions for LTF and censoring and ... -
Nonparametric Estimation in a Compound Mixture Model and False Discovery Rate Control with Auxiliary Information
(University of Waterloo, 2020-05-15)In this thesis, we focus on two important statistical problems. The first is the nonparametric estimation in a compound mixture model with application to the malaria study. The second is the control of the false discovery ... -
Notions of Dependence with Applications in Insurance and Finance
(University of Waterloo, 2013-08-02)Many insurance and finance activities involve multiple risks. Dependence structures between different risks play an important role in both theoretical models and practical applications. However, stochastic and actuarial ... -
Novelty Detection by Latent Semantic Indexing
(University of Waterloo, 2013-05-23)As a new topic in text mining, novelty detection is a natural extension of information retrieval systems, or search engines. Aiming at refining raw search results by filtering out old news and saving only the novel messages, ... -
Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression
(University of Waterloo, 2019-07-30)The theme of this thesis is to develop theoretically sound as well as numerically efficient Least Squares Monte Carlo (LSMC) methods for solving discrete-time stochastic control problems motivated by insurance and finance ... -
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 ...