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Modelling the risk of underfunding in ALM models
This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University LondonAsset and Liability Management (ALM) models have become well established decision tools for pension funds. ALMs are commonly modelled as multi-stage, in which a large terminal wealth is required, while at intermediate time periods, constraints on the funding ratio, that is, the ratio of assets to liabilities, are imposed. Underfunding occurs when the funding ratio is too low; a target value for funding ratios is pre-specified by the decision maker. The risk of underfunding has been usually modelled by employing established risk measures; this controls one single aspect of the funding ratio distributions. For example, controlling the expected shortfall below the target has limited power in controlling shortfall under worst-case scenarios. We propose ALM models in which the risk of underfunding is modelled based on the concept of Second Order Stochastic Dominance (SSD). This is a criterion of ranking random variables - in our case funding ratios - that takes the entire distributions of interest into account and works under the widely accepted assumptions of decision makers being rational and risk averse. In the proposed SSD models, investment decisions are taken such that the resulting short-term distribution of the funding ratio is non-dominated with respect to SSD, while a constraint is imposed on the expected terminal wealth. This is done by considering progressively larger tails of the funding ratio distribution and considering target levels for them; a target distribution is thus implied. Different target distributions lead to different SSD efficient solutions. Improved distributions of funding ratios may be thus achieved, compared to the existing risk models for ALM. This is the first contribution of this thesis. Interesting results are obtained in the special case when the target distribution is deterministic, specified by one single outcome. In this case, we can obtain equivalent risk minimisation models, with risk defined as expected shortfall or as worst case loss. This represents the second contribution. The third contribution is a framework for scenario generation based on the "Birth, Immigration, Death, Emigration" (BIDE) population model and the Empirical copula; the scenarios are used to evaluate the proposed models and their special cases both in-sample and out-of-sample. As an application, we consider the planning problem of a large DB pension fund in Saudi Arabia
Cyberbullying detection framework for short and imbalanced Arabic datasets
Cyberbullying detection has attracted many researchers to detect negative comments deployed on communication platforms as cyberbullying can take many forms: verbal, implicit, explicit, or even nonverbal. The successful growth of social media in recent years has opened new perspectives on the detection of cyberbullying, although related research still encounters several challenges, such as data imbalance and expression implicitness. In this paper, we propose an automated cyberbullying detection framework designed to produce satisfactory results, especially when imbalanced short text and different dialects exist in the Arabic text data. In the proposed framework a new method to solve the imbalance problem is suggested, where the modified simulated annealing optimization algorithm is used to find the optimal set of samples from the majority class to balance the training set. This method has been evaluated using traditional machine learning algorithms including support vector machine, and deep learning algorithms including Long Short-Term Memory (LSTM) and Bidirectional LSTM (Bi-LSTM). To generate a framework that can detect Arabic written cyberbullying on communication platforms, the accuracy, recall, specificity, sensitivity and mean squared error are used as the main performance indicators. The results indicate that the proposed framework can improve the performance of the tested algorithms, and Bi-LSTM outperforms other methods for cyberbullying classification