Non Life Insurance Pricing With Generalized Linear Models

Author : Esbjörn Ohlsson,Björn Johansson
Publisher : Springer Science & Business Media
Page : 174 pages
File Size : 44,7 Mb
Release : 2010-03-18
Category : Mathematics
ISBN : 9783642107917

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Non-Life Insurance Pricing with Generalized Linear Models by Esbjörn Ohlsson,Björn Johansson Pdf

Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration varoius properties of the insured object and the policy holder. Introduced by British actuaries generalized linear models (GLMs) have become today a the standard aproach for tariff analysis. The book focuses on methods based on GLMs that have been found useful in actuarial practice and provides a set of tools for a tariff analysis. Basic theory of GLMs in a tariff analysis setting is presented with useful extensions of standarde GLM theory that are not in common use. The book meets the European Core Syllabus for actuarial education and is written for actuarial students as well as practicing actuaries. To support reader real data of some complexity are provided at www.math.su.se/GLMbook.

Author : Mark Goldburd,Anand Khare,Dan Tevet
Publisher : Unknown
Page : 106 pages
File Size : 41,8 Mb
Release : 2016-06-08
Category : Electronic
ISBN : 0996889728

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Generalized Linear Models for Insurance Rating by Mark Goldburd,Anand Khare,Dan Tevet Pdf

Author : Piet de Jong,Gillian Z. Heller
Publisher : Cambridge University Press
Page : 207 pages
File Size : 50,7 Mb
Release : 2008-02-28
Category : Business & Economics
ISBN : 9781139470476

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Generalized Linear Models for Insurance Data by Piet de Jong,Gillian Z. Heller Pdf

This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is package-independent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website.

Author : Esbj Ohlsson,Bj Johansson
Publisher : Unknown
Page : 190 pages
File Size : 55,6 Mb
Release : 2010-09-10
Category : Electronic
ISBN : 3642107923

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Non-Life Insurance Pricing with Generalized Linear Models by Esbj Ohlsson,Bj Johansson Pdf

Author : Pietro Parodi
Publisher : CRC Press
Page : 590 pages
File Size : 41,7 Mb
Release : 2014-10-15
Category : Business & Economics
ISBN : 9781466581449

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Pricing in General Insurance by Pietro Parodi Pdf

Based on the syllabus of the actuarial industry course on general insurance pricing — with additional material inspired by the author’s own experience as a practitioner and lecturer — Pricing in General Insurance presents pricing as a formalised process that starts with collecting information about a particular policyholder or risk and ends with a commercially informed rate. The main strength of this approach is that it imposes a reasonably linear narrative on the material and allows the reader to see pricing as a story and go back to the big picture at any time, putting things into context. Written with both the student and the practicing actuary in mind, this pragmatic textbook and professional reference: Complements the standard pricing methods with a description of techniques devised for pricing specific products (e.g., non-proportional reinsurance and property insurance) Discusses methods applied in personal lines when there is a large amount of data and policyholders can be charged depending on many rating factors Addresses related topics such as how to measure uncertainty, incorporate external information, model dependency, and optimize the insurance structure Provides case studies, worked-out examples, exercises inspired by past exam questions, and step-by-step methods for dealing concretely with specific situations Pricing in General Insurance delivers a practical introduction to all aspects of general insurance pricing, covering data preparation, frequency analysis, severity analysis, Monte Carlo simulation for the calculation of aggregate losses, burning cost analysis, and more.

Author : Greg Taylor,Gráinne McGuire
Publisher : Unknown
Page : 100 pages
File Size : 52,5 Mb
Release : 2016-05-04
Category : Electronic
ISBN : 0996889701

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Stochastic Loss Reserving Using Generalized Linear Models by Greg Taylor,Gráinne McGuire Pdf

In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.

Author : Edward W. Frees
Publisher : Cambridge University Press
Page : 585 pages
File Size : 50,8 Mb
Release : 2010
Category : Business & Economics
ISBN : 9780521760119

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Regression Modeling with Actuarial and Financial Applications by Edward W. Frees Pdf

This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.

Author : Rob Kaas,Marc Goovaerts,Jan Dhaene
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 49,8 Mb
Release : 2008-12-03
Category : Business & Economics
ISBN : 9783540867364

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Modern Actuarial Risk Theory by Rob Kaas,Marc Goovaerts,Jan Dhaene Pdf

Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and.

Author : Edward W. Frees,Glenn Meyers,Richard A. Derrig
Publisher : Cambridge University Press
Page : 337 pages
File Size : 44,5 Mb
Release : 2016-07-27
Category : Business & Economics
ISBN : 9781316720523

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Predictive Modeling Applications in Actuarial Science: Volume 2, Case Studies in Insurance by Edward W. Frees,Glenn Meyers,Richard A. Derrig Pdf

Predictive modeling uses data to forecast future events. It exploits relationships between explanatory variables and the predicted variables from past occurrences to predict future outcomes. Forecasting financial events is a core skill that actuaries routinely apply in insurance and other risk-management applications. Predictive Modeling Applications in Actuarial Science emphasizes life-long learning by developing tools in an insurance context, providing the relevant actuarial applications, and introducing advanced statistical techniques that can be used to gain a competitive advantage in situations with complex data. Volume 2 examines applications of predictive modeling. Where Volume 1 developed the foundations of predictive modeling, Volume 2 explores practical uses for techniques, focusing on property and casualty insurance. Readers are exposed to a variety of techniques in concrete, real-life contexts that demonstrate their value and the overall value of predictive modeling, for seasoned practicing analysts as well as those just starting out.

Author : Arthur Charpentier
Publisher : CRC Press
Page : 652 pages
File Size : 52,6 Mb
Release : 2014-08-26
Category : Business & Economics
ISBN : 9781498759823

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Computational Actuarial Science with R by Arthur Charpentier Pdf

A Hands-On Approach to Understanding and Using Actuarial ModelsComputational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers more advanced topics, such as parallel computing and C/

Author : P. McCullagh
Publisher : Routledge
Page : 361 pages
File Size : 45,9 Mb
Release : 2019-01-22
Category : Mathematics
ISBN : 9781351445849

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Generalized Linear Models by P. McCullagh Pdf

The success of the first edition of Generalized Linear Models led to the updated Second Edition, which continues to provide a definitive unified, treatment of methods for the analysis of diverse types of data. Today, it remains popular for its clarity, richness of content and direct relevance to agricultural, biological, health, engineering, and ot

Author : Thomas Mikosch
Publisher : Springer Science & Business Media
Page : 435 pages
File Size : 48,9 Mb
Release : 2009-04-21
Category : Mathematics
ISBN : 9783540882336

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Non-Life Insurance Mathematics by Thomas Mikosch Pdf

"Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik

Author : Annette J. Dobson,Adrian Barnett
Publisher : CRC Press
Page : 316 pages
File Size : 50,8 Mb
Release : 2008-05-12
Category : Mathematics
ISBN : 9781584889519

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An Introduction to Generalized Linear Models by Annette J. Dobson,Adrian Barnett Pdf

Continuing to emphasize numerical and graphical methods, An Introduction to Generalized Linear Models, Third Edition provides a cohesive framework for statistical modeling. This new edition of a bestseller has been updated with Stata, R, and WinBUGS code as well as three new chapters on Bayesian analysis. Like its predecessor, this edition presents the theoretical background of generalized linear models (GLMs) before focusing on methods for analyzing particular kinds of data. It covers normal, Poisson, and binomial distributions; linear regression models; classical estimation and model fitting methods; and frequentist methods of statistical inference. After forming this foundation, the authors explore multiple linear regression, analysis of variance (ANOVA), logistic regression, log-linear models, survival analysis, multilevel modeling, Bayesian models, and Markov chain Monte Carlo (MCMC) methods. Using popular statistical software programs, this concise and accessible text illustrates practical approaches to estimation, model fitting, and model comparisons. It includes examples and exercises with complete data sets for nearly all the models covered.

Author : Simon Wood
Publisher : CRC Press
Page : 412 pages
File Size : 41,9 Mb
Release : 2006-02-27
Category : Mathematics
ISBN : 9781584884743

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Generalized Additive Models by Simon Wood Pdf

Now in widespread use, generalized additive models (GAMs) have evolved into a standard statistical methodology of considerable flexibility. While Hastie and Tibshirani's outstanding 1990 research monograph on GAMs is largely responsible for this, there has been a long-standing need for an accessible introductory treatment of the subject that also emphasizes recent penalized regression spline approaches to GAMs and the mixed model extensions of these models. Generalized Additive Models: An Introduction with R imparts a thorough understanding of the theory and practical applications of GAMs and related advanced models, enabling informed use of these very flexible tools. The author bases his approach on a framework of penalized regression splines, and builds a well-grounded foundation through motivating chapters on linear and generalized linear models. While firmly focused on the practical aspects of GAMs, discussions include fairly full explanations of the theory underlying the methods. Use of the freely available R software helps explain the theory and illustrates the practicalities of linear, generalized linear, and generalized additive models, as well as their mixed effect extensions. The treatment is rich with practical examples, and it includes an entire chapter on the analysis of real data sets using R and the author's add-on package mgcv. Each chapter includes exercises, for which complete solutions are provided in an appendix. Concise, comprehensive, and essentially self-contained, Generalized Additive Models: An Introduction with R prepares readers with the practical skills and the theoretical background needed to use and understand GAMs and to move on to other GAM-related methods and models, such as SS-ANOVA, P-splines, backfitting and Bayesian approaches to smoothing and additive modelling.

Author : Yiu-Kuen Tse
Publisher : Cambridge University Press
Page : 541 pages
File Size : 41,9 Mb
Release : 2009-09-17
Category : Business & Economics
ISBN : 9780521764650

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Nonlife Actuarial Models by Yiu-Kuen Tse Pdf

This class-tested undergraduate textbook covers the entire syllabus for Exam C of the Society of Actuaries (SOA).