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Department of Statistics & Actuarial Science
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Recent Submissions
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
Title:
Modelling Energy Market Volatility Using Garch Models And Estimating Value-At-Risk
Author:
Weru, Simon Kinyua
;
Waititu, Anthony
;
Ngunyi, Anthony
Date:
2019
Title:
Empirical estimation of return period and distribution of duration of wind speed exceedances
Author:
Kiplangat, Dennis Cheruiyot
;
Asokan, K.
;
Drisya, G. V.
;
Kumar, K. Satheesh
Date:
2018-12-08
Title:
Conditional Dependence Modelling with Regular Vine Copulas
Author:
Omari, Cyprian Ondieki
;
Mwita, Peter Nyamuhanga
;
Waititu, Antony Gichuhi
Date:
2019-01-01
Title:
An Investigation of Residential Insurance Demand-side Reactions After a Natural Catastrophe: The Case of the 2010–11 Christchurch Earthquakes
Author:
Mumo, Richard
;
Watt, Richard
Date:
2017-07-04
Title:
Variation of wind speed distribution characteristics across Indian sub-continent
Author:
Kiplangat, Dennis Cheruiyot
;
Drisya, G. V.
;
Asokan, K.
;
Kumar, K. Satheesh
Date:
2018-11-16
Title:
Magneto hydrodynamic Fluid Flow past Contracting Surface Taking Account of Hall Current
Author:
Muondwe, Samuel K.
;
Kinyanjui, Mathew
;
Theuri, David
;
Giterere, Kang’ethe
Date:
2018-05
Title:
Conceptual advancement of socio-ecological modelling of ecosystem services for re-evaluating Brownfield land
Author:
Kolosz, B.W.
;
Athanasiadis, I.N.
;
Cadisch, G.
;
Dawson, T.P.
;
Giupponi, C.
;
Honzák, M.
;
Martinez-Lopez, J.
;
Marvugliaj, A.
;
Mojtahed, V.
;
Ogutu, Keroboto B. Z.
;
Delden, H. Van
;
Villa, F.
;
Balbi, S.
Date:
2018-08-16
Title:
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model
Author:
Omari, Cyprian Ondieki
;
Mwita, Peter Nyamuhanga
;
Gichuhi, Antony W.
Date:
2018-05-31
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Author
Ngunyi, Anthony (14)
Omari, Cyprian Ondieki (7)
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)
... View More
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)
... View More
Date Issued
2018 (8)
2020 (6)
2017 (5)
2014 (4)
2019 (4)
2015 (3)
2022 (3)
2016 (2)
2023 (1)
Has File(s)
Yes (36)
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