Browsing Statistics and Actuarial Science by Title
Now showing items 61-80 of 365
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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 ... -
Data Depth Inference for Difficult Data
(University of Waterloo, 2022-07-18)We explore various ways in which a robust, nonparametric statistical tool, the data depth function can be used to conduct inference on data which could be described as difficult. This can include data which are difficult ... -
Debate: what is the best method to monitor surgical performance?
(BioMed Central, 2016-04-05)Background There is considerable recent interest in the monitoring of individual surgeon or hospital surgical outcomes. If one aggregates data over time and assesses performance with a funnel plot, then the detection ... -
Defined Benefit Pension Plans: Cost of Living Adjustments and Membership Heterogeneity
(University of Waterloo, 2021-01-06)In this paper we explore different structures for cost of living adjustments (COLA), based on Hardy et al. (2020)’s five significant criteria: affordability, sustainability, efficiency, adequacy, and fairness. Full COLA ... -
Dependence concepts and selection criteria for lattice rules
(University of Waterloo, 2014-01-24)Lemieux recently proposed a new approach that studies randomized quasi-Monte Carlothrough dependency concepts. By analyzing the dependency structure of a rank-1 lattice,Lemieux proposed a copula-based criterion with which ... -
Dependence modeling for multi-type recurrent events via copulas
(Wiley, 2019-09-20)When several types of recurrent events may arise, interest often lies in marginal modeling and studying the nature of the dependence structure. In this paper, we propose a multivariate mixed-Poisson model with the dependence ... -
Dependence: From classical copula modeling to neural networks
(University of Waterloo, 2020-08-25)The development of tools to measure and to model dependence in high-dimensional data is of great interest in a wide range of applications including finance, risk management, bioinformatics and environmental sciences. The ... -
Design and Analysis of Experiments on Networks
(University of Waterloo, 2024-04-17)In the design and analysis of experiments, it is often assumed that experimental units are independent, in the sense that the treatment assigned to one unit will not affect the potential outcome of another unit. However, ...