Department of Statistics and Actuarial Science
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Catastrophe modelling : deriving the 1-in-200 year mortality shock for a South African insurer’s capital requirements under solvency assessment management
(Actuarial Society of South Africa, 2015)This paper investigates catastrophe risk for South African life insurers by considering the additional deaths that could arise from a 1-in-200 year mortality shock. Existing South African academic research on catastrophic ... -
The sources of South African equity fund performance
(Portfolio management -- South Africa, 2015-11)ENGLISH SUMMARY : This paper aims to quantify some of the sources of South African equity fund performance. In particular, it aims to provide insights into the relative importance of sector allocation and stock selection ... -
The application and testing of smart beta strategies in the South African market
(Stellenbosch : Stellenbosch University, 2018-03)ENGLISH SUMMARY: Smart Beta portfolios have recently prompted great interest both from academic researchers and market practitioners. Investors are attracted by the performances produced by these portfolios compared to the ... -
Identifying secondary series for stepwise common singular spectrum analysis
(Operations Research Society of South Africa, 2013)Common singular spectrum analysis is a technique which can be used to forecast a primary time series by using the information from a secondary series. Not all secondary series, however, provide useful information. A first ... -
Extreme value-based novelty detection
(Stellenbosch : Stellenbosch University, 2017-12)ENGLISH SUMMARY : This dissertation investigates extreme value-based novelty detection. An in-depth review of the theoretical proofs and an analytical investigation of current novelty detection methods are given. It is ... -
Aspects of multi-class nearest hypersphere classification
(Stellenbosch : Stellenbosch University, 2017-12)ENGLISH SUMMARY : Using hyperspheres in the analysis of multivariate data is not a common practice in Statistics. However, hyperspheres have some interesting properties which are useful for data analysis in the following ... -
Statistical classification in high-dimensional scenarios with a focus on microarray data sets
(2017-12)ENGLISH SUMMARY : High-dimensional data analysis characterises many contemporary problems in statistics and arise in many application areas. This thesis focuses on very high-dimensional problems in which the input predictor ... -
The impact of behavioural economics and finance on retirement provision
(Actuarial Society of South Africa, 2016)The significant shift from defined benefit to defined contribution retirement funds in South Africa has led to many fund members bearing responsibility for a range of risks. Many of these risks, such as those related to ... -
Changes in mortality of people living with HIV in South Africa and their potential implications for life assurers
(Actuarial Society of South Africa, 2016)This research investigates the impact of improved (and improving) mortality experience in South Africa as a result of the increased (and increasing) access to antiretroviral treatment on South African life assurers, the ... -
A statistical analysis of student performance for the 2000-2013 period at the Copperbelt University in Zambia
(Stellenbosch : Stellenbosch University, 2017-12)ENGLISH SUMMARY : Education in general, and tertiary education in particular are the engines for sustained development of a nation. In this line, the Copperbelt University (CBU) plays a vital role in delivering the ... -
Flexible graphical assessment of experimental designs in R : the vdg package
(Foundation for Open Access Statistics, 2016-10)The R package vdg provides a flexible interface for producing various graphical summaries of the prediction variance associated with specific linear model specifications and experimental designs. These methods include ... -
The epistemology of statistical science
(SUN PReSS, 2009)BOOK BLURB: In this book four different schools of inference, namely, frequentist, Bayesian, likelihood and fiducial are introduced and then with appropriate examples and discussions, the gaps and holes in the traditional ... -
Predicting tomato crop yield from weather data using statistical learning techniques
(Stellenbosch : Stellenbosch University, 2017-03)ENGLISH SUMMARY : Predicting crop harvest quantities accurately is important in managing a farming enterprise effectively, facilitating decisions regarding crop management, allocation of resources, anticipated delivery ... -
Credit and debit value adjustment estimations in the data sparse South African market
(Stellenbosch : Stellenbosch University, 2017-03)ENGLISH SUMMARY : During 2014, the International Accounting Standards Board (IASB) implemented a new standard for measuring the fair value of assets through the International Financial Reporting Standards (IFRS) 13 guidance. ... -
L-classifier chains classification and variable selection for multi-label datasets
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Multi-label classification extends binary and multi-class classification to scenarios where every data case is assigned several labels simultaneously. Applications include labelling images with tags, ... -
Statistical classification procedures for analyisng functional data
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Functional data are obtained through the measurement of one or more variables at a set of discrete evaluation points over a continuum such as time, wavelength or values of a spatial variable. Functional ... -
An application of geometric data analysis techniques to South African crime data
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Due to the high levels of violent crime in South Africa, improved methods of analysis are required in order to better scrutinize these statistics. This study diverges from traditional multivariate data ... -
Statistical inference of the multiple regression analysis of complex survey data
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : The quality of the inferences and results put forward from any statistical analysis is directly dependent on the correct method used at the analysis stage. Most survey data analyzed in practice riginate ... -
Advances in random forests with application to classification
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Since their introduction, random forests have successfully been employed in a vast array of application areas. Fairly recently, a number of algorithms that adhere to Leo Breiman’s definition of a random ... -
The saddle-point method and its application to the hill estimator
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : The saddle-point approximation is a highly accurate approximation of the distribution of a random variable. It was originally derived as an approximation in situations where a parameter takes on large ...
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