Browsing Statistics and Actuarial Science by Title
Now showing items 246-265 of 365
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Optimal Trading Strategies for an Asset with Disordered Return
(University of Waterloo, 2015-09-18)We explore various trading strategies from a mathematical and practical perspective. Using a geometric Brownian motion with a disorder to model asset price bubbles, we apply this model to multiple periods and explore the ... -
The optimality of a dividend barrier strategy for Levy insurance risk processes, with a focus on the univariate Erlang mixture
(University of Waterloo, 2011-08-31)In insurance risk theory, the surplus of an insurance company is modelled to monitor and quantify its risks. With the outgo of claims and inflow of premiums, the insurer needs to determine what financial portfolio ensures ... -
Optimization of Policy Evaluation and Policy Improvement Methods in Portfolio Optimization using Quasi-Monte Carlo Methods
(University of Waterloo, 2024-05-24)Machine learning involves many challenging integrals that can be estimated using numerical methods. One application of these methods which has been explored in recent work is the estimation of policy gradients for ... -
An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options
(University of Waterloo, 2015-09-16)Counterparty credit risk management has become an important issue for financial institutions since the Basel III framework was introduced. Expected exposure (EE) is defined as the average (positive) exposure at a future ... -
Option Pricing and Hedging Analysis under Regime-switching Models
(University of Waterloo, 2013-04-23)This thesis explores option pricing and hedging in a discrete time regime-switching environment. If the regime risk cannot be hedged away, then we cannot ignore this risk and use the Black-Scholes pricing and hedging ... -
Pairs Trading Based on Costationarity
(University of Waterloo, 2015-09-25)Arbitrage is a widely sought after phenomenon in financial markets: profit without any risk is very desirable. Statistical arbitrage is a related concept: the idea is to take advantage of market inefficiencies using ... -
Penalized Regression for Interval-Censored Times of Disease Progression: Selection of HLA Markers in Psoriatic Arthritis
(Wiley, 2015-09)Times of disease progression are interval-censored when progression status is only known at a series of assessment times. This situation arises routinely in clinical trials and cohort studies when events of interest are ... -
Peptide Sequencing with Deep Learning
(University of Waterloo, 2020-09-30)In shotgun proteomics, de novo peptide sequencing from tandem mass spectrometry data is the key technology for finding new peptide or protein sequences. It has successful applications in assembling monoclonal antibody ... -
Performance of Dynamic Hedging Strategies for Cash Balance Pension Plans
(University of Waterloo, 2015-09-28)Cash balance (CB) pension plans make up 25% of all defined benefit plans in the US. The benefits are accumulated at guaranteed crediting rates, the most popular choice is the yield on the 30-year Treasury bond. In this ... -
Poissonian potential measures for Lévy risk models
(Elsevier, 2018-09-01)This paper studies the potential (or resolvent) measures of spectrally negative Lévy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent ... -
Predicting epileptic seizures using nonlinear dynamics
(University of Waterloo, 2009-01-23)Epilepsy is a nervous system disorder which affects approximately 1% of the world's population. Nearly 25% of people who have epilepsy are resistant to traditional treatments such as medication and are not candidates for ... -
Prediction of recurrent events
(University of Waterloo, 2004)In this thesis, we will study issues related to prediction problems and put an emphasis on those arising when recurrent events are involved. First we define the basic concepts of frequentist and Bayesian statistical ... -
Prediction Performance of Survival Models
(University of Waterloo, 2008-09-12)Statistical models are often used for the prediction of future random variables. There are two types of prediction, point prediction and probabilistic prediction. The prediction accuracy is quantified by performance ... -
Preserving Measured Structure During Generation and Reduction of Multivariate Point Configurations
(University of Waterloo, 2018-05-30)Inherent in any multivariate data is structure, which describes the general shape and distribution of the underlying point configuration. While there are potentially many types of structure that could be of interest, ... -
Pricing and Hedging of Emerging Products in Finance and Insurance
(University of Waterloo, 2018-12-12)This thesis addresses the pricing and hedging issues on the newly-developed financial and insurance products, including simplified hedges for path-dependent options, variable annuities tied with state-dependent fees, and ... -
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 ... -
Pricing Asian Options by the Method of Moments Matching
(University of Waterloo, 2015-06-16)This Master's Thesis explores the method of moments matching for pricing Asian options. In this thesis, the underlying asset is assumed to be non-dividend paying and its price process either follows the standard geometric ... -
Pricing derivatives using Gram-Charlier Expansions
(University of Waterloo, 2013-04-22)In this thesis, we provide several applications of Gram-Charlier expansions in derivative pricing. We first give an exposition on how to calculate swaption prices under the the CIR2 model. Then we extend this method to ... -
A profit Sharing Pension Plan
(University of Waterloo, 2021-01-05)As Traditional Defined Benefit (DB) plans are declining, more companies are switching to Defined Contribution (DC) plans. However, DC plans have significant disadvantages since employees bear all investment and longevity ... -
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 ...