Browsing Statistics and Actuarial Science by Subject "Actuarial Science"
Now showing items 1-20 of 42
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Actuarial Inference and Applications of Hidden Markov Models
(University of Waterloo, 2011-08-17)Hidden Markov models have become a popular tool for modeling long-term investment guarantees. Many different variations of hidden Markov models have been proposed over the past decades for modeling indexes such as the S&P ... -
Actuarial Ratemaking in Agricultural Insurance
(University of Waterloo, 2015-08-06)A scientific agricultural (re)insurance pricing approach is essential for maintaining sustainable and viable risk management solutions for different stakeholders including farmers, governments, insurers, and reinsurers. ... -
Adaptive policies and drawdown problems in insurance risk models
(University of Waterloo, 2015-08-31)Ruin theory studies an insurer's solvency risk, and to quantify such a risk, a stochastic process is used to model the insurer's surplus process. In fact, research on ruin theory dates back to the pioneer works of Lundberg ... -
Algorithmic Analysis of a General Class of Discrete-based Insurance Risk Models
(University of Waterloo, 2013-08-28)The aim of this thesis is to develop algorithmic methods for computing particular performance measures of interest for a general class of discrete-based insurance risk models. We build upon and generalize the insurance ... -
Analysis of a Threshold Strategy in a Discrete-time Sparre Andersen Model
(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 ... -
Analysis of Financial Data using a Difference-Poisson Autoregressive Model
(University of Waterloo, 2011-05-17)Box and Jenkins methodologies have massively contributed to the analysis of time series data. However, the assumptions used in these methods impose constraints on the type of the data. As a result, difficulties arise when ... -
Analysis of Islamic Stock Indices
(University of Waterloo, 2009-04-29)In this thesis, an attempt is made to build on the quantitative research in the field of Islamic Finance. Firstly, univariate modelling using special GARCH-type models is performed on both the FTSE All World and FTSE ... -
Analysis of some risk models involving dependence
(University of Waterloo, 2010-08-12)The seminal paper by Gerber and Shiu (1998) gave a huge boost to the study of risk theory by not only unifying but also generalizing the treatment and the analysis of various risk-related quantities in one single mathematical ... -
Coherent Distortion Risk Measures in Portfolio Selection
(University of Waterloo, 2011-08-30)The theme of this thesis relates to solving the optimal portfolio selection problems using linear programming. There are two key contributions in this thesis. The first contribution is to generalize the well-known linear ... -
Contracting under Heterogeneous Beliefs
(University of Waterloo, 2011-06-03)The main motivation behind this thesis is the lack of belief subjectivity in problems of contracting, and especially in problems of demand for insurance. The idea that an underlying uncertainty in contracting problems (e.g. ... -
Convex duality in constrained mean-variance portfolio optimization under a regime-switching model
(University of Waterloo, 2008-09-23)In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal ... -
Directional Control of Generating Brownian Path under Quasi Monte Carlo
(University of Waterloo, 2012-09-10)Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in computational finance. This is attributed to the increased complexity of the derivative securities and the sophistication of the financial models. ... -
Economic Pricing of Mortality-Linked Securities
(University of Waterloo, 2012-09-26)In previous research on pricing mortality-linked securities, the no-arbitrage approach is often used. However, this method, which takes market prices as given, is difficult to implement in today's embryonic market where ... -
Efficient Procedure for Valuing American Lookback Put Options
(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 ... -
Estimation and allocation of insurance risk capital
(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 ... -
Fee Structure and Surrender Incentives in Variable Annuities
(University of Waterloo, 2014-08-05)Variable annuities (VAs) are investment products similar to mutual funds, but they also protect policyholders against poor market performance and other risks. They have become very popular in the past twenty years, and the ... -
Financial Risk Management of Guaranteed Minimum Income Benefits Embedded in Variable Annuities
(University of Waterloo, 2011-08-29)A guaranteed minimum income benefit (GMIB) is a long-dated option that can be embedded in a deferred variable annuity. The GMIB is attractive because, for policyholders who plan to annuitize, it offers protection against ... -
Funding Liquidity and Limits to Arbitrage
(University of Waterloo, 2012-06-14)Arbitrageurs play an important role in keeping market prices close to their fundamental values by providing market liquidity. Most arbitrageurs however use leverage. When funding conditions worsen they are forced to ... -
A Generalization of the Discounted Penalty Function in Ruin Theory
(University of Waterloo, 2008-08-21)As ruin theory evolves in recent years, there has been a variety of quantities pertaining to an insurer's bankruptcy at the centre of focus in the literature. Despite the fact that these quantities are distinct from each ... -
Gerber-Shiu analysis in some dependent Sparre Andersen risk models
(University of Waterloo, 2010-08-11)In this thesis, we consider a generalization of the classical Gerber-Shiu function in various risk models. The generalization involves introduction of two new variables in the original penalty function including the surplus ...