Regression Modeling with Actuarial and Financial Applications

by Edward W. Frees

• ISBN13: 9780521135962
• ISBN10: 0521135966
• eBook ISBN(s): 9780511669187
• Format: Paperback
• Copyright: 2009-11-30
• Publisher: Cambridge University Press
• More Book Details

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

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