Now showing items 1-20 of 252

    • Coherent Beta Risk Measures for Capital Requirements 

      Wirch, Julia Lynn (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 ...
    • Modelling Issues in Three-state Progressive Processes 

      Kopciuk, Karen (University of Waterloo, 2001)
      This dissertation focuses on several issues pertaining to three-state progressive stochastic processes. Casting survival data within a three-state framework is an effective way to incorporate intermediate events into an ...
    • Duration Data Analysis in Longitudinal Survey 

      Boudreau, Christian (University of Waterloo, 2003)
      Considerable amounts of event history data are collected through longitudinal surveys. These surveys have many particularities or features that are the results of the dynamic nature of the population under study and of ...
    • Prediction of recurrent events 

      Fredette, Marc (University of Waterloo, 2004)
      In this thesis, we will study issues related to prediction problems and put an emphasis on those arising when recurrent events are involved. First we define the basic concepts of frequentist and Bayesian statistical ...
    • Integration in Computer Experiments and Bayesian Analysis 

      Karuri, Stella (University of Waterloo, 2005)
      Mathematical models are commonly used in science and industry to simulate complex physical processes. These models are implemented by computer codes which are often complex. For this reason, the codes are also ...
    • Multiple testing using the posterior probability of half-space: application to gene expression data. 

      Labbe, Aurelie (University of Waterloo, 2005)
      We consider the problem of testing the equality of two sample means, when the number of tests performed is large. Applying this problem to the context of gene expression data, our goal is to detect a set of genes ...
    • Statistical Methods for High Throughput Screening Drug Discovery Data 

      Wang, Yuanyuan (Marcia) (University of Waterloo, 2005)
      High Throughput Screening (HTS) is used in drug discovery to screen large numbers of compounds against a biological target. Data on activity against the target are collected for a representative sample of compounds ...
    • Imputation, Estimation and Missing Data in Finance 

      DiCesare, Giuseppe (University of Waterloo, 2006)
      Suppose <em>X</em> is a diffusion process, possibly multivariate, and suppose that there are various segments of the components of <em>X</em> that are missing. This happens, for example, if <em>X</em> is the price of ...
    • Measurement Error and Misclassification in Interval-Censored Life History Data 

      White, Bethany Joy Giddings (University of Waterloo, 2007-05-04)
      In practice, data are frequently incomplete in one way or another. It can be a significant challenge to make valid inferences about the parameters of interest in this situation. In this thesis, three problems involving ...
    • Estimation and allocation of insurance risk capital 

      Kim, Hyun Tae (University of Waterloo, 2007-05-15)
      Estimating tail risk measures such as Value at Risk (VaR) and Conditional Tail Expectation (CTE) is a vital component in financial and actuarial risk management. The CTE is a preferred risk measure, due to coherence and ...
    • Customizing kernels in Support Vector Machines 

      Zhang, Zhanyang (University of Waterloo, 2007-05-22)
      Support Vector Machines have been used to do classification and regression analysis. One important part of SVMs are the kernels. Although there are several widely used kernel functions, a carefully designed kernel will ...
    • Efficient Procedure for Valuing American Lookback Put Options 

      Wang, Xuyan (University of Waterloo, 2007-05-22)
      Lookback option is a well-known path-dependent option where its payoff depends on the historical extremum prices. The thesis focuses on the binomial pricing of the American floating strike lookback put options with ...
    • Flexible Mixed-Effect Modeling of Functional Data, with Applications to Process Monitoring 

      Mosesova, Sofia (University of Waterloo, 2007-06-18)
      High levels of automation in manufacturing industries are leading to data sets of increasing size and dimension. The challenge facing statisticians and field professionals is to develop methodology to help meet this ...
    • Stochastic Mortality Models with Applications in Financial Risk Management 

      Li, Siu Hang (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 ...
    • The Valuation and Risk Management of a DB Underpin Pension Plan 

      Chen, Kai (University of Waterloo, 2007-08-02)
      Hybrid pension plans offer employees the best features of both defined benefit and defined contribution plans. In this work, we consider the hybrid design offering a defined contribution benefit with a defined benefit ...
    • Topics in Delayed Renewal Risk Models 

      Kim, So-Yeun (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 ...
    • Computation of Multivariate Barrier Crossing Probability, and Its Applications in Finance 

      Huh, Joonghee (University of Waterloo, 2007-09-05)
      In this thesis, we consider computational methods of finding exit probabilities for a class of multivariate stochastic processes. While there is an abundance of results for one-dimensional processes, for multivariate ...
    • Interval Censoring and Longitudinal Survey Data 

      Pantoja Galicia, Norberto (University of Waterloo, 2007-09-11)
      Being able to explore a relationship between two life events is of great interest to scientists from different disciplines. Some issues of particular concern are, for example, the connection between smoking cessation and ...
    • Statistical Learning in Drug Discovery via Clustering and Mixtures 

      Wang, Xu (University of Waterloo, 2007-09-20)
      In drug discovery, thousands of compounds are assayed to detect activity against a biological target. The goal of drug discovery is to identify compounds that are active against the target (e.g. inhibit a virus). Statistical ...
    • Analysis of a Threshold Strategy in a Discrete-time Sparre Andersen Model 

      Mera, Ana Maria (University of Waterloo, 2007-09-26)
      In this thesis, it is shown that the application of a threshold on the surplus level of a particular discrete-time delayed Sparre Andersen insurance risk model results in a process that can be analyzed as a doubly ...

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