Physical Sciences and Mathematics Commons^™

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 …

Statistical Modeling And Characterization Of Induced Seismicity Within The Western Canada Sedimentary Basin, Sid Kothari

Electronic Thesis and Dissertation Repository

In western Canada, there has been an increase in seismic activity linked to anthropogenic energy-related operations including conventional hydrocarbon production, wastewater fluid injection and more recently hydraulic fracturing (HF). Statistical modeling and characterization of the space, time and magnitude distributions of the seismicity clusters is vital for a better understanding of induced earthquake processes and development of predictive models. In this work, a statistical analysis of the seismicity in the Western Canada Sedimentary Basin was performed across past and present time periods by utilizing a compiled earthquake catalogue for Alberta and eastern British Columbia. Specifically, the frequency-magnitude statistics were analyzed …

Towards Using Model Averaging To Construct Confidence Intervals In Logistic Regression Models, Artem Uvarov

Electronic Thesis and Dissertation Repository

Regression analyses in epidemiological and medical research typically begin with a model selection process, followed by inference assuming the selected model has generated the data at hand. It is well-known that this two-step procedure can yield biased estimates and invalid confidence intervals for model coefficients due to the uncertainty associated with the model selection. To account for this uncertainty, multiple models may be selected as a basis for inference. This method, commonly referred to as model-averaging, is increasingly becoming a viable approach in practice.

Previous research has demonstrated the advantage of model-averaging in reducing bias of parameter estimates. However, there …

Classification With Measurement Error In Covariates Or Response, With Application To Prostate Cancer Imaging Study, Kexin Luo

Electronic Thesis and Dissertation Repository

The research is motivated by the prostate cancer imaging study conducted at the University of Western Ontario to classify cancer status using multiple in-vivo images. The prostate cancer histological image and the in-vivo images are subject to misalignment in the co-registration procedure, which can be viewed as measurement error in covariates or response. We investigate methods to correct this problem.

The first proposed method corrects the predicted class probability when the data has misclassified labels. The correction equation is derived from the relationship between the true response and the error-prone response. The probability for the observed class label is adjusted …

Advances In Moment-Based Distributional Methodologies, Yishan Zang

Electronic Thesis and Dissertation Repository

This thesis comprises various results that rely on the moments of a distribution or the sample moments associated with a set of observations. Since a sample of size n is uniquely specified by its first n moments, it is pertinent to make use of sample moments for modeling, classification or inference purposes. Three density mixtures are approximated by adjusting in various ways an initial density approximation referred to a base density by means certain moment-based functions, and the accuracy of the resulting density approximants are compared. A similar study is carried out in the context of density estimation. Moreover, it …

Exploring The Estimability Of Mark-Recapture Models With Individual, Time-Varying Covariates Using The Scaled Logit Link Function, Jiaqi Mu

Electronic Thesis and Dissertation Repository

Mark-recapture studies are often used to estimate the survival of individuals in a population and identify factors that affect survival in order to understand how the population might be affected by changing conditions. Factors that vary between individuals and over time, like body mass, present a challenge because they can only be observed when an individual is captured. Several models have been proposed to deal with the missing-covariate problem and commonly impose a logit link function which implies that the survival probability varies between 0 and 1. In this thesis I explore the estimability of four possible models when survival …

Split Credibility: A Two-Dimensional Semi-Linear Credibility Model, Jingbing Qiu

Electronic Thesis and Dissertation Repository

In the thesis, we introduce a two-dimensional semi-linear credibility model, which is an extension of the classical credibility or split credibility models used by practicing actuaries. Our model predicts the future expected losses of a policyholder by considering its historical primary and excess losses. The optimal split point is derived based on the mean squared error criterion. We show when and why splitting a policyholder’s historical losses into primary and excess parts work analytically. In addition, we derived formulas for estimating our model parameters nonparametrically. Finally, we show the application of our model through three examples.

Development Of A 1-Dimensional Data Assimilation To Determine Temperature And Relative Humidity Combining Raman Lidar Backscatter Measurements And A Reanalysis Model, Shayamila N. Mahagammulla Gamage

Electronic Thesis and Dissertation Repository

Water vapor is the most dominant greenhouse gas in Earth's atmosphere. It is highly variable and its variations strongly depend on changes in temperature. Atmospheric water vapor can be expressed as relative humidity (RH), the ratio of the partial pressure of water vapor in the mixture to the equilibrium vapor pressure of water over a flat surface of pure water at a given temperature. Liquid water can exist as super-cooled water for temperatures between 0C to -38C. Thus, RH can be measured either relative to water (RHw) or to ice (RHi). RHi measurements are important in the upper tropospheric region, …

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 …

A Computationally Efficient Methodology In Pricing A Guaranteed Minimum Accumulation Benefit, Yiming Huang

Electronic Thesis and Dissertation Repository

In this thesis, we consider a framework under which three correlated factors, namely, financial, mortality and lapse risks, are modelled in an integrated way. This modelling framework supports the valuation of a guaranteed minimum accumulation benefit (GMAB). The change-of-measure approach is employed to come up with a compact and implementable valuation expressions. We provide a numerical demonstration to confirm the efficiency and accuracy of our proposed pricing methodology. In particular, our approach on average takes only 0.07% of the computing time entailed by the Monte-Carlo (MC) simulation technique. Furthermore, the standard errors of our approach’s results are lower than those …

Valuation And Risk Management Of Some Longevity And P&C Insurance Products, Yixing Zhao

Electronic Thesis and Dissertation Repository

Numerous insurance products linked to risky assets have emerged rapidly in the last couple of decades. These products have option-embedded features and typically involve at least two risk factors, namely interest and mortality risks. The need for models to capture risk factors' behaviours accurately is enormous and critical for insurance companies. The primary objective of this thesis is to develop pricing and hedging frameworks for option-embedded longevity products addressing correlated risk factors. Various methods are employed to facilitate the computation of prices and risk measures of longevity products including those with maturity benefits. Furthermore, in order to be prepared for …