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Department of Statistics & Actuarial Science
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Recent Submissions
Title:
Unraveling Market Inefficiencies: Weak Arbitrage and the Information-Based Model for Option Pricing
Author:
Odin, Matabel
;
Aduda, Jane Akinyi
;
Omari, Cyprian Ondieki
Date:
2023-11
Title:
Hierarchical Logistic Regression Model for Multilevel Analysis on the Uptake of Health Insurance in Nouakchott, Mauritania
Author:
Tourad, Tourad Cheikh
;
Ngunyi, Antony
;
Imboga, Herbert
Date:
2022-05
Title:
A Jump Diffusion Model with Fast Mean-Reverting Stochastic Volatility for Pricing Vulnerable Options
Author:
Nthiwa, Joy K.
;
Kube, Ananda O.
;
Omari, Cyprian O.
Date:
2023-09
Title:
Tracing the evolution and charting the future of geothermal energy research and development
Author:
Rohit R.V.
;
Vipin Raj R.
;
Kiplangat, Dennis C.
;
Veena R.
;
Rajan Jose
;
A.P. Pradeepkumar
;
K. Satheesh Kumar
Date:
2023-07-14
Title:
Numerical Approximation of Information-Based Model Equation for Bermudan Option with Variable Transaction Costs
Author:
Matabel Odin
;
Jane Akinyi Aduda
;
Omari, Cyprian Ondieki
Date:
2023-02
Title:
DRIVERS INFLUENCING DIGITAL CREDIT AMONG RESIDENTS OF NYERI MUNICIPALITY, KENYA
Author:
Gachuhi, Peter Wahome
;
Riro Kamau
;
Ngunyi, Anthony
Date:
2023
Title:
Consistency of an Estimator for Change Point in Volatility of Financial Returns
Author:
Ngure, Josephine Njeri
;
Waititu, Anthony Gichuhi
;
Mundia, Simon Maina
Date:
2021-01
Title:
Detection and Estimation of Change Point in Volatility Function of Foreign Exchange Rate Returns
Author:
Ngure, Josephine Njeri
;
Waititu, Anthony Gichuhi
;
Mundia, Simon Maina
Date:
2023-04
Title:
Predicting Wavelet-Transformed Stock Prices Using a Vanishing Gradient Resilient Optimized Gated Recurrent Unit with a Time Lag
Author:
Mamba, Luyandza Sindi
;
Ngunyi, Antony
;
Nderu, Lawrence
Date:
2023-02
Title:
Multivariate and Univariate Prediction of Stock Prices using an Optimized Gated Recurrent Unit with a Time Lag Proportional to the Wavelet Approximation Coefficient
Author:
Mamba, Luyandza Sindi
;
Ngunyi, Anthony
;
Nderu, Lawrence
Date:
2022-12
Title:
Pricing Bermudan Option with Variable Transaction Costs under the Information-Based Model
Author:
Odin, Matabel
;
Aduda, Jane Akinyi
;
Omari, Cyprian Ondieki
Date:
2022-10
Title:
Evaluating the Performance of BiometricIdentification Systems Using the Beta-binomial Distribution Model
Author:
Njuki, Arnold Kiura
;
Mageto, Thomas
;
Ngunyi, Anthony
Date:
2022-03-15
Title:
Post-Harvest Loss Modeling of Maize Produce in Kenya
Author:
Ngunyi, Anthony
;
Julius Sang
;
Anthony Wanjoya
Date:
2020-10
Title:
News Classification using Support Vector Machine to Model and Forecast Volatility
Author:
Ngunyi, Anthony
;
Kenyatta, Alpha Basweti
;
Waititu, Anthony Gichuhi
Date:
2020-01
Title:
Modeling Zero Inflation and Over-Dispersion in Domestic Package Insurance Claims Portfolio: A Case of Madison Insurance Company-Kenya
Author:
Ngunyi, Anthony
;
Thomas Mageto
;
Stella Mutahi
Date:
2020-12
Title:
Modeling Burglar Incidents Data Using Generalized and Quasi Poisson Regression Models: A Case Study of Nairobi City County, Kenya
Author:
Muchika, Isaac
;
Ngunyi, Anthony
;
Mageto, Thomas
Date:
2020-10
Title:
Inter-Arrival Time Modeling of Threshold Scores in Mathematics Among School Pupils; A Case of Acacia Crest School, Kenya
Author:
Ngunyi, Anthony
;
Stella Mutahi
;
Thomas Mageto
Date:
2020-12
Title:
Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory
Author:
Cyprian Omar
;
Simon Mundia
;
Immaculate Ngina
Date:
2020-10
Title:
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models
Author:
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian
Date:
2019-10-17
Title:
Residential insurance market responses after earthquake: A survey of Christchurch dwellers
Author:
Mumo, Richard
;
Watt, Richard
Date:
2019-04-27
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Author
Ngunyi, Anthony (15)
Omari, Cyprian Ondieki (9)
Kiplangat, Dennis Cheruiyot (5)
Kumar, K. Satheesh (5)
Waititu, Antony Gichuhi (5)
Asokan, K. (4)
Drisya, G. V. (4)
Mwita, Peter Nyamuhanga (4)
Ogutu, Keroboto B. Z. (4)
Mageto, Thomas (3)
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Subject
Actuarial Modeling, Claim Frequency, Claim Severity, Goodness-of-Fit Tests, Maximum Likelihood Estimation (MLE), Loss Distributions (1)
Backtesting (1)
Backtesting, Copulas, Currency Exchange Rate, Dependence Modelling, GARCH-EVT-Copula Model, Portfolio Risk, Value-at-Risk (1)
Backtesting, Extreme Value Theory (EVT), Financial Risk Management (FRM), GARCH Models, Peak-Over-Threshold (POT) and Value-at-Risk (VaR) (1)
backtesting, generalized autoregressive conditionally heteroscedastic (GARCH) models, Value-at-Risk (VaR), volatility clustering, Conditional and Unconditional Coverage Tests (1)
Bayesian, remittance, household credit (1)
Bitcoin, (1)
Christchurch earthquakes Residential property insurance Disaster risk Insurance demand (1)
Copula; regular vines; C-Vine, D-Vine; currency exchange rates; tail dependence; pair-copula constructions. (1)
Cryptocurrencies (1)
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Date Issued
2018 (8)
2023 (7)
2020 (6)
2017 (5)
2014 (4)
2019 (4)
2022 (4)
2015 (3)
2016 (2)
2021 (1)
Has File(s)
Yes (44)
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