Regression Modeling with Actuarial and Financial Applicationsby Edward W. Frees
Pub. Date: 12/31/2009
Publisher: Cambridge University Press
Statistical techniques can be used to address new situations. This is important in a rapidly evolving risk management and financial world. Analysts with a strong statistical background understand that a large data set can represent a treasure trove of information to be mined and can yield a strong competitive advantage. This book provides budding actuaries and… See more details below
Statistical techniques can be used to address new situations. This is important in a rapidly evolving risk management and financial world. Analysts with a strong statistical background understand that a large data set can represent a treasure trove of information to be mined and can yield a strong competitive advantage. This book provides budding actuaries and financial analysts with a foundation in multiple regression and time series. Readers 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
1. Regression and the normal distribution; Part I. Linear Regression: 2. Basic linear regression; 3. Multiple linear regression - I; 4. Multiple linear regression - II; 5. Variable selection; 6. Interpreting regression results; Part II. Topics in Time Series: 7. Modeling trends; 8. Autocorrelations and autoregressive models; 9. Forecasting and time series models; 10. Longitudinal and panel data models; Part III. Topics in Nonlinear Regression: 11. Categorical dependent variables; 12. Count dependent variables; 13. Generalized linear models; 14. Survival models; 15. Miscellaneous regression topics; Part IV. Actuarial Applications: 16. Frequency-severity models; 17. Fat-tailed regression models; 18. Credibility and bonus-malus; 19. Claims triangles; 20. Report writing: communicating data analysis results; 21. Designing effective graphs; Appendix 1: basic statistical inference; Appendix 2: matrix algebra; Appendix 3: probability tables.
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