Browsing Statistics and Actuarial Science by Title
Now showing items 331-350 of 363
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Statistical Models and Methods for Dependent Life History Processes
(University of Waterloo, 2018-11-28)This thesis deals with statistical issues in the analysis of complex life history processes which have characteristics of heterogeneity and dependence. We are motivated, in this thesis, by three specific types of ... -
A Statistical Response to Challenges in Vast Portfolio Selection
(University of Waterloo, 2019-07-04)The thesis is written in response to emerging issues brought about by an increasing number of assets allocated in a portfolio and seeks answers to puzzling empirical findings in the portfolio management area. Over the ... -
Stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant
(Elsevier, 2021-07)We derive a stochastic representation for the probability distribution on the positive orthant (0,∞)ᵈ whose association between components is minimal among all probability laws with ℓp-norm symmetric survival functions. ... -
Stochastic Mortality Models with Applications in Financial Risk Management
(University of Waterloo, 2007-06-18)In product pricing and reserving, actuaries are often required to make predictions of future death rates. In the past, this has been performed by using deterministic improvement scales that give only a single mortality ... -
Stochastic Stepwise Ensembles for Variable Selection
(University of Waterloo, 2009-04-30)Ensembles methods such as AdaBoost, Bagging and Random Forest have attracted much attention in the statistical learning community in the last 15 years. Zhu and Chipman (2006) proposed the idea of using ensembles for variable ... -
Stochastic Volatility Models and Simulated Maximum Likelihood Estimation
(University of Waterloo, 2011-08-02)Financial time series studies indicate that the lognormal assumption for the return of an underlying security is often violated in practice. This is due to the presence of time-varying volatility in the return series. The ... -
A Structural Modelling Approach to Closed End Bond Funds
(University of Waterloo, 2013-08-28)This thesis develops a model of closed end bond funds that helps us better understand a recent finding in the literature. In 2012 Elton et al. published an empirical study of closed end bond funds (CEBFs) and they suggested ... -
Structured Mixture Models
(University of Waterloo, 2023-08-11)Finite mixture models are a staple of model-based clustering approaches for distinguishing subgroups. A common mixture model is the finite Gaussian mixture model, whose degrees of freedom scales quadratically with increasing ... -
A Study of Using Chinese Restaurant Process Mixture Models in Information Retrieval
(University of Waterloo, 2015-01-16)Retrieval systems help users to isolate relevant information from massive data collections. Usually, a user obtains useful information by submitting a query to such a system. One critical issue is that a query could have ... -
A Study on Longevity Risk Hedging in the Presence of Population Basis Risk
(University of Waterloo, 2015-09-29)Longevity risk refers to uncertainty surrounding the trend in human life expectancy. Standardized hedging instruments that are linked to broad-based mortality indexes can be used to offload longevity risk from pension plans ... -
Suboptimality of Asian Executive Options
(University of Waterloo, 2011-08-25)This thesis applies the concept of cost e ciency to the design of executive compensation. In a classical Black-Scholes framework, we are able to express the cost e cient counterpart of the Asian Executive Option explicitly, ... -
Superfast Inference for Stationary Gaussian Processes in Particle Tracking Microrheology
(University of Waterloo, 2019-12-18)Particle tracking of passive microscopic species has become the experimental measurement of choice in diverse applications, where either the material volumes are limited, or the materials themselves are so soft that they ... -
Survival Analysis of Complex Featured Data with Measurement Error
(University of Waterloo, 2019-08-22)Survival analysis plays an important role in many fields, such as cancer research, clinical trials, epidemiological studies, actuarial science, and so on. A large body of methods on analyzing survival data have been ... -
Tail Dependence and Heavy Tailedness in Extreme Risks
(University of Waterloo, 2020-12-18)Much empirical work has shown that asset returns, exchange rates, operational risks, large insurance claims exhibit heavy tailedness. Dependence also widely exists among these risks. An example of the impact of dependence ... -
Technological strategies to estimate and control diffusive passage times through the mucus barrier in mucosal drug delivery
(Elsevier, 2018-01-01)In mucosal drug delivery, two design goals are desirable: 1) insure drug passage through the mucosal barrier to the epithelium prior to drug removal from the respective organ via mucus clearance: and 2) design carrier ... -
Time change method in quantitative finance
(University of Waterloo, 2010-04-28)In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a ... -
Topics in Delayed Renewal Risk Models
(University of Waterloo, 2007-08-03)Main focus is to extend the analysis of the ruin related quantities, such as the surplus immediately prior to ruin, the deficit at ruin or the ruin probability, to the delayed renewal risk models. First, the background ... -
Topics in Study Design and Analysis Involving Incomplete Data
(University of Waterloo, 2021-07-27)Incomplete data is a common occurrence in statistics with various types and mechanisms such that each can have a significant effect on statistical analysis and inference. This thesis tackles several statistical issues in ... -
Topics in the Design of Life History Studies
(University of Waterloo, 2018-08-20)Substantial investments are being made in health research to support the conduct of large cohort studies with the objective of improving understanding of the relationships between diverse features (e.g. exposure to toxins, ... -
Toward a unified global regulatory capital framework for life insurers
(University of Waterloo, 2011-03-07)In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are ...