Browsing Department of Statistics and Actuarial Science by Title
Now showing items 19-38 of 123
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Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods
(Stellenbosch : University of Stellenbosch, 2010-12)ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix of assets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixed proportions ... -
Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation
(Operations Research Society of South Africa, 2012)Extra premiums can be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced on a regular basis back to fixed proportions. The valuation of this premium can be changed to that ... -
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 ... -
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 ... -
Classification in high dimensional data using sparse techniques
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Traditional classification techniques fail in the analysis of high-dimensional data. In response, new classification techniques and accompanying theory have recently emerged. These techniques are natural ... -
Classifying yield spread movements in sparse data through triplots
(Stellenbosch : Stellenbosch University, 2020-03)ENGLISH SUMMARY : In many developing countries, including South Africa, all data that are required to calculate the fair values of financial instruments are not always readily available. Additionally, in some instances, ... -
Comparison of methods to calculate measures of inequality based on interval data
(Stellenbosch : Stellenbosch University, 2015-12)ENGLISH ABSTRACT: In recent decades, economists and sociologists have taken an increasing interest in the study of income attainment and income inequality. Many of these studies have used census data, but social surveys ... -
A comparison of support vector machines and traditional techniques for statistical regression and classification
(Stellenbosch : Stellenbosch University, 2004-04)ENGLISH ABSTRACT: Since its introduction in Boser et al. (1992), the support vector machine has become a popular tool in a variety of machine learning applications. More recently, the support vector machine has also ... -
Compounding a class of Rayleigh distributions : an objective Bayesian approach
(Stellenbosch : Stellenbosch University, 2015-12)ENGLISH ABSTRACT: In this work, Bayesian estimation in the context of parametric survival analysis is con- sidered. A class of models derived by compounding and generalising the Rayleigh dis- tribution is regarded. These ... -
Confidence intervals for estimators of welfare indices under complex sampling
(Stellenbosch : University of Stellenbosch, 2010-03)ENGLISH ABSTRACT: The aim of this study is to obtain estimates and confidence intervals for welfare indices under complex sampling. It begins by looking at sampling in general with specific focus on complex sampling and ... -
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. ... -
Credit curve estimation and corporate bonds in the South African market
(Stellenbosch : Stellenbosch University, 2020-03)ENGLISH SUMMARY : Accurate fair value measurement of financial instruments serves as one of many mechanisms to enhance the integrity of financial institutions, particularly as it relates to counterparty credit risk. In ... -
Deep learning for tabular data : an exploratory study
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : From about 2006, deep learning has proven to be very successul in application areas such as computer vision, natural language processing, speech and audio recognition, machine translation, bioinformatics, ... -
Discriminant analysis using sparse graphical models
(Stellenbosch : Stellenbosch University, 2020-03)ENGLISH SUMMARY : The objective of this thesis is the proposal of a new classification method. This classification method is an extension of classical quadratic discriminant analysis (QDA), where the focus is placed on ... -
An easy and low cost option for economic statistical process control using Excel
(Operations Research Society of South Africa, 2009)ENGLISH SUMMARY : In this paper, a user-friendly, Excel program is developed to search for the optimal values of the parameters in minimizing the total cost function in both economic and economic statistical designs of the ... -
Edgeworth-corrected small-sample confidence intervals for ratio parameters in linear regression
(Stellenbosch : Stellenbosch University, 2002-03)ENGLISH ABSTRACT: In this thesis we construct a central confidence interval for a smooth scalar non-linear function of parameter vector f3 in a single general linear regression model Y = X f3 + c. We do this by ... -
The effect of liquidity on stock returns on the JSE
(Stellenbosch : Stellenbosch University, 2012-12)ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, ... -
Empirical Bayes estimation of the extreme value index in an ANOVA setting
(Stellenbosch : Stellenbosch University, 2014-04)ENGLISH ABSTRACT: Extreme value theory (EVT) involves the development of statistical models and techniques in order to describe and model extreme events. In order to make inferences about extreme quantiles, it is necessary ... -
Ensemble methods in multi-label classification
(Stellenbosch : Stellenbosch University, 2018-12) -
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 ...
