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Articles 1 - 17 of 17
Full-Text Articles in Probability
Statistical Roles Of The G-Expectation Framework In Model Uncertainty: The Semi-G-Structure As A Stepping Stone, Yifan Li
Electronic Thesis and Dissertation Repository
The G-expectation framework is a generalization of the classical probability system based on the sublinear expectation to deal with phenomena that cannot be described by a single probabilistic model. These phenomena are closely related to the long-existing concern about model uncertainty in statistics. However, the distributions and independence in the G-framework are quite different from the classical setup. These distinctions bring difficulty when applying the idea of this framework to general statistical practice. Therefore, a fundamental and unavoidable problem is how to better understand G-version concepts from a statistical perspective.
To explore this problem, this thesis establishes a new substructure …
New Developments On The Estimability And The Estimation Of Phase-Type Actuarial Models, Cong Nie
New Developments On The Estimability And The Estimation Of Phase-Type Actuarial Models, Cong Nie
Electronic Thesis and Dissertation Repository
This thesis studies the estimability and the estimation methods for two models based on Markov processes: the phase-type aging model (PTAM), which models the human aging process, and the discrete multivariate phase-type model (DMPTM), which can be used to model multivariate insurance claim processes.
The principal contributions of this thesis can be categorized into two areas. First, an objective measure of estimability is proposed to quantify estimability in the context of statistical models. Existing methods for assessing estimability require the subjective specification of thresholds, which potentially limits their usefulness. Unlike these methods, the proposed measure of estimability is objective. In …
Early-Warning Alert Systems For Financial-Instability Detection: An Hmm-Driven Approach, Xing Gu
Early-Warning Alert Systems For Financial-Instability Detection: An Hmm-Driven Approach, Xing Gu
Electronic Thesis and Dissertation Repository
Regulators’ early intervention is crucial when the financial system is experiencing difficulties. Financial stability must be preserved to avert banks’ bailouts, which hugely drain government's financial resources. Detecting in advance periods of financial crisis entails the development and customisation of accurate and robust quantitative techniques. The goal of this thesis is to construct automated systems via the interplay of various mathematical and statistical methodologies to signal financial instability episodes in the near-term horizon. These signal alerts could provide regulatory bodies with the capacity to initiate appropriate response that will thwart or at least minimise the occurrence of a financial crisis. …
The Mean-Reverting 4/2 Stochastic Volatility Model: Properties And Financial Applications, Zhenxian Gong
The Mean-Reverting 4/2 Stochastic Volatility Model: Properties And Financial Applications, Zhenxian Gong
Electronic Thesis and Dissertation Repository
Financial markets and instruments are continuously evolving, displaying new and more refined stylized facts. This requires regular reviews and empirical evaluations of advanced models. There is evidence in literature that supports stochastic volatility models over constant volatility models in capturing stylized facts such as "smile" and "skew" presented in implied volatility surfaces. In this thesis, we target commodity and volatility index markets, and develop a novel stochastic volatility model that incorporates mean-reverting property and 4/2 stochastic volatility process. Commodities and volatility indexes have been proved to be mean-reverting, which means their prices tend to revert to their long term mean …
On The Sparre-Andersen Risk Models, Ruixi Zhang
On The Sparre-Andersen Risk Models, Ruixi Zhang
Electronic Thesis and Dissertation Repository
This thesis develops several strategies for calculating ruin-related quantities for a variety of extended risk models. We focus on the Sparre-Andersen risk model, also known as the renewal risk model. The idea of arbitrary distribution for the waiting time between claim payments arose in the 1950’s from the collective risk theory, and received many extensions and modifications in recent years. Our goal is to tackle model assumptions that are either too relaxed for traditional methods to apply, or so complicated that elaborate algebraic tools are needed to obtain explicit solutions.
In Chapter 2, we consider a Lévy risk process and …
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Electronic Thesis and Dissertation Repository
This thesis focuses on developing Pareto-optimal reinsurance policy which considers the interests of both the insurer and the reinsurer. The optimal insurance/reinsurance design has been extensively studied in actuarial science literature, while in early years most studies were concentrated on optimizing the insurer’s interests. However, as early as 1960s, Borch argued that “an agreement which is quite attractive to one party may not be acceptable to its counterparty” and he pioneered the study on “fair” risk sharing between the insurer and the reinsurer. Quite recently, the question of how to strike a balance in risk sharing between an insurer and …
The Statistical Exploration In The $G$-Expectation Framework: The Pseudo Simulation And Estimation Of Variance Uncertainty, Yifan Li
Electronic Thesis and Dissertation Repository
The $G$-expectation framework, motivated by problems with \emph{uncertainty}, is a new generalization of the classical probability framework. Similar to the Choquet expectation, the $G$-expectation can be represented as the supremum of a class of linear expectations. In the past two decades, it has developed into a complete stochastic structure connected with a large family of nonlinear PDEs. Nonetheless, to apply it to real-world problems with uncertainty, it is fundamentally necessary to build up the associated statistical methodology.
This thesis explores the \emph{computation, simulation, and estimation} of the $G$-normal distribution (a typical distribution with variance uncertainty) by constructing a new substructure …
Advances In Semi-Nonparametric Density Estimation And Shrinkage Regression, Hossein Zareamoghaddam
Advances In Semi-Nonparametric Density Estimation And Shrinkage Regression, Hossein Zareamoghaddam
Electronic Thesis and Dissertation Repository
This thesis advocates the use of shrinkage and penalty techniques for estimating the parameters of a regression model that comprises both parametric and nonparametric components and develops semi-nonparametric density estimation methodologies that are applicable in a regression context.
First, a moment-based approach whereby a univariate or bivariate density function is approximated by means of a suitable initial density function that is adjusted by a linear combination of orthogonal polynomials is introduced. Such adjustments are shown to be mathematically equivalent to making use of standard polynomials in one or two variables. Once extended to apply to density estimation, in which case …
Statistical Modelling, Optimal Strategies And Decisions In Two-Period Economies, Jiang Wu
Statistical Modelling, Optimal Strategies And Decisions In Two-Period Economies, Jiang Wu
Electronic Thesis and Dissertation Repository
Motivated by some real problems, our thesis puts forward two general two-period pricing models and explore optimal buying and selling strategies in two states of the two-period decision, when buyer/seller's decisions in the two periods are uncertain: commodity valuations may or may not be independent, may or may not follow the same distribution, be heavily or just lightly influenced by exogenous economic conditions, and so on. For both the example of buying laptops and the example of selling houses, the connections between each example and the two-envelope paradox encourage us to explore optimal strategies based on the works of McDonnell …
A Novel Method For Assessing Co-Monotonicity: An Interplay Between Mathematics And Statistics With Applications, Danang T. Qoyyimi
A Novel Method For Assessing Co-Monotonicity: An Interplay Between Mathematics And Statistics With Applications, Danang T. Qoyyimi
Electronic Thesis and Dissertation Repository
Numerous problems in econometrics, insurance, reliability engineering, and statistics rely on the assumption that certain functions are monotonic, which may or may not be true in real life scenarios. To satisfy this requirement, from the theoretical point of view, researchers frequently model the underlying phenomena using parametric and semi-parametric families of functions, thus effectively specifying the required shapes of the functions. To tackle these problems in a non-parametric way, when the shape cannot be specified explicitly but only estimated approximately, we suggest indices for measuring the lack of monotonicity in functions. We investigate properties of these indices and offer convenient …
Probabilistic Reasoning In Cosmology, Yann Benétreau-Dupin
Probabilistic Reasoning In Cosmology, Yann Benétreau-Dupin
Electronic Thesis and Dissertation Repository
Cosmology raises novel philosophical questions regarding the use of probabilities in inference. This work aims at identifying and assessing lines of arguments and problematic principles in probabilistic reasoning in cosmology.
The first, second, and third papers deal with the intersection of two distinct problems: accounting for selection effects, and representing ignorance or indifference in probabilistic inferences. These two problems meet in the cosmology literature when anthropic considerations are used to predict cosmological parameters by conditionalizing the distribution of, e.g., the cosmological constant on the number of observers it allows for. However, uniform probability distributions usually appealed to in such arguments …
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Electronic Thesis and Dissertation Repository
Tropical cyclone (TC) or typhoon wind hazard and risk are significant for China. The return period value of the maximum typhoon wind speed is used to characterize the typhoon wind hazard and assign wind load in building design code. Since the historical surface observations of typhoon wind speed are often scarce and of short period, the typhoon wind hazard assessment is often carried out using the wind field model and TC track model. For a few major cities in the coastal region of mainland China, simple or approximated wind field models and a circular subregion method (CSM) have been used …
Extensions Of The Cross-Entropy Method With Applications To Diffusion Processes And Portfolio Losses, Alexandre Scott
Extensions Of The Cross-Entropy Method With Applications To Diffusion Processes And Portfolio Losses, Alexandre Scott
Electronic Thesis and Dissertation Repository
Rare event simulation is a crucial part of simulations. In financial mathematics, the study of rare events appear naturally when we consider risk measures such as the conditional value at risk. This thesis is composed of three related papers treating the rare event simulations subject: the first paper addresses rare event simulations using for diffusion processes, the second paper addresses rare event simulations for the normal and the Student t-copula model while the last paper addresses rare event simulations for a portfolio model where there is a correlation structure between the loss-given-default and the probability of default.
Image Quality Of Energy-Dependent Approaches For X-Ray Angiography, Jesse Evan Tanguay
Image Quality Of Energy-Dependent Approaches For X-Ray Angiography, Jesse Evan Tanguay
Electronic Thesis and Dissertation Repository
Digital subtraction angiography (DSA) is an x-ray-based imaging method widely used for diagnosis and treatment of patients with vascular disease. This technique uses subtraction of images acquired before and after injection of an iodinated contrast agent to generate iodine-specific images. While it is extremely successful at imaging structures that are near-stationary over a period of several seconds, motion artifacts can result in poor image quality with uncooperative patients and DSA is rarely used for coronary applications.
Alternative methods of generating iodine-specific images with reduced motion artifacts might exploit the energy-dependence of x-ray attenuation in a patient. This could be performed …
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Electronic Thesis and Dissertation Repository
In this paper, we examine the pricing and hedging of an index option where one constituents stock plays an overly dominant role in the index. Under a Geometric Brownian Motion assumption we compare the distribution of the relative value of the index if the dominant stock is modeled separately from the rest of the index, or not. The former is equivalent to the relative index value being distributed as the sum of two lognormal random variables and the latter is distributed as a single lognormal random variable. Since these are not equal in distribution, we compare the two models. The …
On The Distribution Of Quadratic Expressions In Various Types Of Random Vectors, Ali Akbar Mohsenipour
On The Distribution Of Quadratic Expressions In Various Types Of Random Vectors, Ali Akbar Mohsenipour
Electronic Thesis and Dissertation Repository
Several approximations to the distribution of indefinite quadratic expressions in possibly singular Gaussian random vectors and ratios thereof are obtained in this dissertation. It is established that such quadratic expressions can be represented in their most general form as the difference of two positive definite quadratic forms plus a linear combination of Gaussian random variables. New advances on the distribution of quadratic expressions in elliptically contoured vectors, which are expressed as scalar mixtures of Gaussian vectors, are proposed as well. Certain distributional aspects of Hermitian quadratic expressions in complex Gaussian vectors are also investigated. Additionally, approximations to the distributions of …
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Electronic Thesis and Dissertation Repository
The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility …