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9780521135962

Regression Modeling with Actuarial and Financial Applications

by
  • ISBN13:

    9780521135962

  • ISBN10:

    0521135966

  • Format: Paperback
  • Copyright: 2009-11-30
  • Publisher: Cambridge University Press

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Summary

This text gives budding actuaries and financial analysts a foundation in multiple regression and time series. They will learn about these statistical techniques using data on the demand for insurance, lottery sales, foreign exchange rates, and other applications. Although no specific knowledge of risk management or finance is presumed, the approach introduces applications in which statistical techniques can be used to analyze real data of interest. In addition to the fundamentals, this book describes several advanced statistical topics that are particularly relevant to actuarial and financial practice, including the analysis of longitudinal, two-part (frequency/severity), and fat-tailed data. Datasets with detailed descriptions, sample statistical software scripts in 'R' and 'SAS', and tips on writing a statistical report, including sample projects, can be found on the book's Web site: http://research.bus.wisc.edu/RegActuaries.

Table of Contents

Regression and the normal distribution
Linear Regression
Basic linear regression
Multiple linear regression - I
Multiple linear regression - II
Variable selection
Interpreting regression results
Topics in Time Series
Modeling trends
Autocorrelations and autoregressive models
Forecasting and time series models
Longitudinal and panel data models
Topics in Nonlinear Regression
Categorical dependent variables
Count dependent variables
Generalized linear models
Survival models
Miscellaneous regression topics
Actuarial Applications
Frequency-severity models
Fat-tailed regression models
Credibility and bonus-malus
Claims triangles
Report writing: communicating data analysis results
Designing effective graphs
basic statistical inference
matrix algebra
probability tables
Table of Contents provided by Publisher. All Rights Reserved.

Supplemental Materials

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