Browsing Statistics and Actuarial Science by Type "Master Thesis"
Now showing items 1-20 of 91
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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 ... -
Application of Block Sieve Bootstrap to Change-Point detection in time series
(University of Waterloo, 2010-08-31)Since the introduction of CUSUM statistic by E.S. Page (1951), detection of change or a structural break in time series has gained significant interest as its applications span across various disciplines including economics, ... -
Approximating stable densities with Padé approximants and asymptotic series
(University of Waterloo, 2011-04-29)In this thesis, we are interested in using the Padé approximants and asymptotic series to approximate the density functions of the stable distributions. The paper specifically discusses the selection of the optimal degree ... -
Asset Return Correlations in Episodes of Systemic Crises
(University of Waterloo, 2014-08-22)This thesis explores asset return correlation dynamics in relation to systemic crises. The eigenvalues obtained from principal component analysis performed on the sample return correlation matrix equal the variance explained ... -
Asymptotic Distribution of the Optimal Value in Random Linear Programs: Application to Maximum Expected Shortfall
(University of Waterloo, 2020-10-08)The properties of risk measures are of fundamental concern in quantitative finance, particularly in times of uncertainty. We study the behaviour of the asymptotic distribution of the maximum expected shortfall of a portfolio ... -
Bayesian Sample Size Determination for Single-Particle Tracking of Pathogens in Biological Fluids
(University of Waterloo, 2018-01-17)Single-particle tracking (SPT) experiments measure 2-dimensional particle position with a high-resolution digital camera, capturing microsecond motion. SPT has allowed novel investigation of membrane dynamics, enzymology, ... -
Bias in the Estimate of a Mean Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process
(University of Waterloo, 2017-01-19)In this thesis we studied the estimation bias of the least squares estimate of the mean reversion parameter, when the underlying dynamics is governed by fractional Brownian motions. Fractional Brownian motion is a ... -
The Black-Scholes and Heston Models for Option Pricing
(University of Waterloo, 2013-05-22)Stochastic volatility models on option pricing have received much study following the discovery of the non-at implied surface following the crash of the stock markets in 1987. The most widely used stochastic volatility ... -
Bounds on Aggregate Assets
(University of Waterloo, 2014-01-23)Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ... -
Budget-Constrained Optimal Insurance with an Upper Limit on the Insurer's Exposure
(University of Waterloo, 2021-01-13)This thesis studies the problem of budget-constrained optimal insurance indemnification when the insurer imposes an upper limit on disbursement. In balancing the trade-off between the cost of paying the insurance premium ... -
Causal Inference with Recurrent Data via Propensity Score Methods
(University of Waterloo, 2019-01-07)Propensity score methods are increasingly being used to reduce estimation bias of treatment effects for observational studies. Previous research has shown that propensity score methods consistently estimate the marginal ... -
Climate Change Risk in Stock Markets
(University of Waterloo, 2020-01-20)Climate change is becoming a common threat to the world and has been studied by scholars in various fields. In the field of finance, many papers have discussed financial market efficiency toward climate change in order to ... -
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 ... -
Combination of Levene-Type Tests and a Finite-Intersection Method for Testing Trends in Variances
(University of Waterloo, 2009-04-30)The problem of detecting monotonic increasing/decreasing trends in variances from k samples is widely met in many applications, e.g. financial data analysis, medical and environmental studies. However, most of the tests ... -
Comparing Distributions with the Probability of Agreement
(University of Waterloo, 2021-06-03)In this thesis we adapt the probability of agreement (PoA) methodology for the comparison of distributions. Most of the commonly used methods for comparing distributions are rooted in hypothesis testing where decisions are ... -
Conditional Scenario Generation with a GVAR Model
(University of Waterloo, 2016-12-15)The stress-testing method formed an integral part of the practice of risk management. However, the underlying models for scenarios generation have not been much studied so far. In past practice, the users typically did ... -
Controlling the false discovery rate with dynamic adaptive procedures and of grouped hypotheses
(University of Waterloo, 2018-08-08)In the multiple testing problem with independent tests, the classical Benjamini-Hochberg (BH) procedure controls the false discovery rate (FDR) below the target FDR level. Adaptive procedures can improve power by ... -
Convex Stochastic Control and Conjugate Duality in a Problem of Unconstrained Utility Maximization Under a Regime Switching Model
(University of Waterloo, 2015-05-22)In this thesis, we examine a problem of convex stochastic optimal control applied to mathematical finance. The goal is to maximize the expected utility from wealth at close of trade (or terminal wealth) under a regime ...