Physical Sciences and Mathematics Commons^™

Bias-Corrected Bagging In Active Learning With An Actuarial Application, Yangxuan Xu

Undergraduate Student Research Internships Conference

The variable annuity (VA) is a modern insurance product that offers certain guaranteed protection and tax-deferred treatment. Because of the inherent complexity of guarantees’ payoff, the closed-form solution of fair market values (FMVs) is often not available. Most insurance companies depend on Monte Carlo (MC) simulation to price the FMVs of these products, which is an extremely computational intensive and time-consuming approach. The metamodeling approach can be used to circumvent the heavy computation.

In the modeling stage, the bagged tree method has proved to outperform other parametric approaches. Also, a bias-corrected (BC) bagging model was tried and showed significant improvement …

The Q-Analogue Of The Extended Generalized Gamma Distribution, Wenhao Chen

Undergraduate Student Research Internships Conference

This project introduces a flexible univariate probability model referred to as the q-analogue of the Extended Generalized Gamma (or q-EGG) distribution, which encompasses the majority of the most frequently used continuous distributions, including the gamma, Weibull, logistic, type-1 and type-2 beta, Gaussian, Cauchy, Student-t and F. Closed form representations of its moments and cumulative distribution function are provided. Additionally, computational techniques are proposed for determining estimates of its parameters. Both the method of moments and the maximum likelihood approach are utilized. The effect of each parameter is also graphically illustrated. Certain data sets are modeled with q-EGG distributions; goodness of …

Investigation Of Key Factors To Earthquake Insurance Take-Up Rates In Quebec And British Columbia Households And Prediction Model Building, Yongcheng Jiang

Undergraduate Student Research Internships Conference

Maintaining an adequate level of earthquake take-up rate could protect the insurance industry from systemic failure. Past research has shown that British Columbia and Quebec have significant differences in earthquake insurance take-up rate. This report investigates key factors from the structure (default options and various types) of the insurance plan and personal characteristics along with socioeconomic/demographic profiles that affect the demand for earthquake protection in the form of insurance. The report also provides a prediction model for earthquake insurance take-up rate. The results show an importance ranking of key factors of earthquake insurance take up, the most important three are …

Financial Literacy: Self-Evaluation And Reality, Yangsijia Wang

Undergraduate Student Research Internships Conference

This study is on the topic of financial literacy, with the data source containing information on clients' demographic information and self-evaluation, change in account value, and trade record, three major problems were investigated: first, whether a client's demographic traits are related to his/her self-evaluation of financial knowledge level; second, does the trading behaviour differ for clients who self-identified as in different financial knowledge groups; and third, do people who self-identified as financially knowledgeable have better investment result. Data manipulation was done using SQL and R. Exploratory analysis including multiple types of plots and proportion tables was used to derive the …

Where On Ice? Algorithmically Deconstructing Nhl Shot Locations As A Method For Player Classification, Devan Becker, Douglas G. Woolford, Charmaine B. Dean

Western Research Forum

Where do hockey players shoot from? How does this vary from player to player? We present the results of a study that uses data-driven statistical methods to investigate these questions. The locations of shots by National Hockey League (NHL) players from 2011 to 2017 are analyzed using a combination of an image recognition algorithm and spatial statistical methodology. An unsupervised classifier is applied to output from a spatial point process model in order to determine which shot locations best characterize a given player. We define the number of regions a priori, but the image recognition algorithm chooses the shape …