Browsing Statistics and Actuarial Science by Issue Date
Now showing items 41-60 of 364
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Stochastic Stepwise Ensembles for Variable Selection
(University of Waterloo, 2009-04-30)Ensembles methods such as AdaBoost, Bagging and Random Forest have attracted much attention in the statistical learning community in the last 15 years. Zhu and Chipman (2006) proposed the idea of using ensembles for variable ... -
A Latent Health Factor Model for Estimating Estuarine Ecosystem Health
(University of Waterloo, 2009-05-20)Assessment of the “health” of an ecosystem is often of great interest to those interested in monitoring and conservation of ecosystems. Traditionally, scientists have quantified the health of an ecosystem using multimetric ... -
Regime Switching and Technical Trading with Dynamic Bayesian Networks in High-Frequency Stock Markets
(University of Waterloo, 2009-05-23)Technical analysis has been thwarted in academic circles, due to the Efficient Market Hypothesis, which had significant empirical support early on. However recently, there is accumulating evidence that the markets are not ... -
Leveraged Plans for Measurement System Assessment
(University of Waterloo, 2009-08-20)In manufacturing, measurement systems are used to control processes and inspect parts with the goal of producing high quality product for the customer. Modern Quality Systems require the periodic assessment of key measurement ... -
Estimation and Goodness of Fit for Multivariate Survival Models Based on Copulas
(University of Waterloo, 2009-08-20)We provide ways to test the fit of a parametric copula family for bivariate censored data with or without covariates. The proposed copula family is tested by embedding it in an expanded parametric family of copulas. When ... -
Information Matrices in Estimating Function Approach: Tests for Model Misspecification and Model Selection
(University of Waterloo, 2009-08-26)Estimating functions have been widely used for parameter estimation in various statistical problems. Regular estimating functions produce parameter estimators which have desirable properties, such as consistency and ... -
Optimal Reinsurance Designs: from an Insurer’s Perspective
(University of Waterloo, 2009-09-30)The research on optimal reinsurance design dated back to the 1960’s. For nearly half a century, the quest for optimal reinsurance designs has remained a fascinating subject, drawing significant interests from both academicians ... -
Queueing Analysis of a Priority-based Claim Processing System
(University of Waterloo, 2009-10-02)We propose a situation in which a single employee is responsible for processing incoming claims to an insurance company that can be classified as being one of two possible types. More specifically, we consider a priority-based ... -
Pricing and Hedging the Guaranteed Minimum Withdrawal Benefits in Variable Annuities
(University of Waterloo, 2010-01-22)The Guaranteed Minimum Withdrawal Benefits (GMWBs) are optional riders provided by insurance companies in variable annuities. They guarantee the policyholders' ability to get the initial investment back by making periodic ... -
Local Mixture Model in Hilbert Space
(University of Waterloo, 2010-01-26)In this thesis, we study local mixture models with a Hilbert space structure. First, we consider the fibre bundle structure of local mixture models in a Hilbert space. Next, the spectral decomposition is introduced in order ... -
A new framework for clustering
(University of Waterloo, 2010-04-07)The difficulty of clustering and the variety of clustering methods suggest the need for a theoretical study of clustering. Using the idea of a standard statistical framework, we propose a new framework for clustering. ... -
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 ... -
Time change method in quantitative finance
(University of Waterloo, 2010-04-28)In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a ... -
Quadratic Hedging with Margin Requirements and Portfolio Constraints
(University of Waterloo, 2010-04-28)We consider a mean-variance portfolio optimization problem, namely, a problem of minimizing the variance of the final wealth that results from trading over a fixed finite horizon in a continuous-time complete market in the ... -
Inflation derivatives pricing with a forward CPI model
(University of Waterloo, 2010-05-21)The Zero-Coupon Inflation Indexed Swap (ZCIIS) is a derivative contract through which inflation expectations on the Consumer Price Index (CPI) are actively traded in the US. In this thesis we consider different ways to use ... -
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 ... -
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 ... -
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 ... -
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 ... -
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, ...