Now showing items 1-7 of 7

    • Characterizing, optimizing and backtesting metrics of risk 

      Wang, Qiuqi (University of Waterloo, 2023-07-12)
      Measures of risk and riskmetrics were proposed to quantify the risks people are faced with in financial, statistical, and economic practice. They are widely discussed and studied by literature in the context of financial ...
    • Compatibility Problems of Probability Measures for Stochastic Processes 

      Shen, Jie (University of Waterloo, 2018-07-27)
      In this thesis, we address three topics in the area of compatibility for probability measures. By "compatibility", we mean the problems concerning the existence of random variables/stochastic processes which generate certain ...
    • Measures for risk, dependence and diversification 

      Lin, Liyuan (University of Waterloo, 2024-06-20)
      Two primary tasks in quantitative risk management are measuring risk and managing risk. Risk measures and dependence modeling are important tools for assessing portfolio risk, which have gained much interest in the literature ...
    • Optimization, model uncertainty, and testing in risk and insurance 

      Jiao, Zhanyi (University of Waterloo, 2024-07-11)
      This thesis focuses on three important topics in quantitative risk management and actuarial science: risk optimization, risk sharing, and statistical hypothesis testing in risk. For the risk optimization, we concentrate ...
    • Risk Management with Non-Convex and Non-Monotone Preferences 

      Wei, Yunran (University of Waterloo, 2019-06-24)
      This thesis studies two types of problems, the theory of risk functionals and the risk sharing problem. We put a special focus on a class of non-monotone law-invariant risk functionals, called the signed Choquet integrals. The ...
    • Risk Sharing and Risk Aggregation via Risk Measures 

      Liu, Haiyan (University of Waterloo, 2017-04-21)
      Risk measures have been extensively studied in actuarial science in the guise of premium calculation principles for more than 40 years, and recently, they have been the standard tool for financial institutions in both ...
    • Robust Risk Aggregation Techniques and Applications 

      Chen, Yuyu (University of Waterloo, 2022-08-23)
      Risk aggregation, which concerns the statistical behaviors of an aggregation position S(X) associated with a random vector X = (X1, . . . , Xn), is an important research topic in risk management, economics, and statistics. ...


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