Browsing Statistics and Actuarial Science by Title
Now showing items 123-142 of 363
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Failure Time Analysis with Discrete Marker Processes under Intermittent Observation
(University of Waterloo, 2021-07-28)Regression analysis for failure time data is often directed at studying the relationship between a time-dependent biomarker and failure. The Cox regression model and the associated partial likelihood on which inference ... -
Failure time studies with intermittent observation and losses to follow-up
(Wiley, 2020-12-01)In health research interest often lies in modeling a failure time process but in many cohort studies failure status is only determined at scheduled assessment times. While the assessment times may be fixed upon study entry, ... -
Feature Selection for Gene Expression Data Based on Hilbert-Schmidt Independence Criterion
(University of Waterloo, 2010-05-25)DNA microarrays are capable of measuring expression levels of thousands of genes, even the whole genome, in a single experiment. Based on this, they have been widely used to extend the studies of cancerous tissues to a ... -
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 Fraud: A Game of Cat and Mouse
(University of Waterloo, 2010-06-11)This thesis models rational criminals and regulators with flawed incentives. In it we develop a rational model of crime and regulation that we use to show the SEC's current incentive structure is ineffective at preventing ... -
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 ... -
Fixed Point Iteration Algorithms for Low-rank Matrix Completion
(University of Waterloo, 2015-05-20)A lot of applications can be formulated as matrix completion problems. In order to address such problems, a common assumption is that the underlying matrix is (approximately) low-rank. Under certain conditions, the ... -
Flexible Bent-Cable Models for Mixture Longitudinal Data
(University of Waterloo, 2010-04-27)Data showing a trend that characterizes a change due to a shock to the system are a type of changepoint data, and may be referred to as shock-through data. As a result of the shock, this type of data may exhibit one of two ... -
Flexible Mixed-Effect Modeling of Functional Data, with Applications to Process Monitoring
(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 ... -
Fractional Imputation for Ordinal and Mixed-type Responses with Missing Observations
(University of Waterloo, 2017-01-12)This thesis addresses two essential aspects of large scale public-use data files involving ordinal and mixed-type responses with missing observations: (i) the creation of single complete data sets with imputation for missing ... -
Functional Finite Mixture Modelling and Estimation
(University of Waterloo, 2023-09-01)Functional data analysis is a branch of statistics that studies models for information represented by functions. Meanwhile, finite mixture models serve as a conerstone in the field of cluster analysis, offering a flexible ... -
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 ... -
FX Spot Trading and Risk Management from A Market Maker’s Perspective
(University of Waterloo, 2011-08-29)Due to the rapid development of computing technology and faster growth of financial industry, Foreign Exchange high-frequency trading has become substantially more prominent to today's market players, especially to bankers ... -
General Quadratic Risk Minimization: a Variational Approach
(University of Waterloo, 2016-07-05)Mean-variance portfolio selection and mean-variance hedging are mainstream research topics in mathematical nance, which can be subsumed within the framework of a general problem of quadratic risk minimization. We study ... -
A Generalization of M/G/1 Priority Models via Accumulating Priority
(University of Waterloo, 2016-01-08)Priority queueing systems are oftentimes set up so that arriving customers are placed into one of $N$ distinct priority classes. Moreover, to determine the order of service, each customer (upon arriving to the system) is ... -
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 ... -
Generalizations and Applications of the Stochastic Block Model to Basketball Games and Variable Selection Problems
(University of Waterloo, 2017-01-24)Over the past decade, there has been an explosion of network data in a vast number of circumstances, such as the World Wide Web, social networks, gene interactions, economic networks, etc. Scientific analysis of networks ... -
Generalizations to Corrections of Measurement Error Effects for Dynamic Treatment Regimes
(University of Waterloo, 2022-08-19)Measurement error is a pervasive issue in questions of estimation and inference. Generally, any data which are measured with error will render the results of an analysis which ignores this error unreliable. This is a ... -
The Generalized Method of Moments for Mixture and Mixed Models
(University of Waterloo, 2015-09-28)Mixture models can be found in a wide variety of statistical applications. However, undertaking statistical inference in mixture models, especially non-parametric mixture models, can be challenging. A general, or nonparametric, ... -
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 ...