Browsing Statistics and Actuarial Science by Title
Now showing items 54-73 of 363
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Composite likelihood for aggregate data from clustered multistate processes under intermittent observation
(Taylor & Francis, 2019-03-11)Markov processes offer a useful basis for modeling the progression of organisms through successive stages of their life cycle. When organisms are examined intermittently in developmental studies, likelihoods can be constructed ... -
Composite likelihood for joint analysis of multiple multistate processes via copulas
(Oxford Journals, 2014-10)A copula-based model is described which enables joint analysis of multiple progressive multistate processes. Unlike intensity-based or frailty-based approaches to joint modeling, the copula formulation proposed herein ... -
Computation of Multivariate Barrier Crossing Probability, and Its Applications in Finance
(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 ... -
Computational Methods for Compositional Epistasis Detection
(University of Waterloo, 2022-04-19)In genetics, the term “epistasis” refers to the phenomenon that the effect of one gene or single-nucleotide polymorphism (SNP) is dependent on the presence of others. Various possibilities of epistasis exist, and the ... -
Computationally Efficient Multi-Asset Stochastic Volatility Modeling
(University of Waterloo, 2018-08-24)Stochastic volatility (SV) models are popular in financial modeling, because they capture the inherent uncertainty of the asset volatility. Since assets are observed to co-move together, multi-asset SV (mSV) models 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 ... -
Constructions and applications of quasi-random point sets with negative dependence
(University of Waterloo, 2022-08-17)Randomized Quasi-Monte Carlo (RQMC) methods are used as an alternative to the Monte Carlo (MC) method when performing numeric integration by replacing the random point set of MC with a randomized low-discrepancy sequence ... -
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. ... -
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 ... -
Controlling the workload of M/G/1 queues via the q-policy
(Elsevier, 2015-06-01)We consider a single-server queueing system with Poisson arrivals and generally distributed service times. To systematically control the workload of the queue, we define for each busy period an associated timer process, ... -
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 ... -
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 ... -
A copula model for marked point processes
(Springer, 2013)Many chronic diseases feature recurring clinically important events. In addition, however, there often exists a random variable which is realized upon the occurrence of each event reflecting the severity of the event, a ... -
Copula Models for Multi-type Life History Processes
(University of Waterloo, 2013-08-30)This thesis considers statistical issues in the analysis of data in the studies of chronic diseases which involve modeling dependencies between life history processes using copula functions. Many disease processes feature ... -
A Copula-based Quantile Risk Measure Approach to Hedging under Regime Switching
(University of Waterloo, 2015-10-16)In this thesis, our work builds on the future hedging strategy presented by Barbi and Romagnoli (2014). The authors propose the optimal hedge ratio as the minimizer of a generic quantile risk measure (QRM), which includes ... -
Correlated Data Analysis with Copula Models or Bayesian Nonparametric Methods
(University of Waterloo, 2021-01-20)Different types of correlated data arise commonly in many studies and present considerable challenges in modeling and characterizing complex dependence structures. This thesis considers statistical issues in analyzing such ... -
Cost-Efficient Contingent Claims with Choquet Pricing
(University of Waterloo, 2020-09-30)We examine a problem, in which an investor seeks the cheapest contingent claim that achieves a minimum performance subject to a maximum allowed risk exposure. Specifically, our problem minimizes a non-linear cost functional, ... -
A Cox-Aalen model for interval-censored data
(Wiley, 2015-06)The Cox-Aalen model, obtained by replacing the baseline hazard function in the well-known Cox model with a covariate-dependent Aalen model, allows for both fixed and dynamic covariate effects. In this paper, we examine ... -
A critical review of 'optimal' annuitization strategies
(University of Waterloo, 2021-01-28)This paper is an analysis of different self-annuitization strategies advised to a retiree. At the time of retirement, an individual has the choice between annuitizing immediately with their wealth or delaying until a future ... -
Customizing kernels in Support Vector Machines
(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 ...