Non Life Insurance Pricing With Generalized Linear Models
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Author | : Esbjörn Ohlsson |
Publisher | : Springer Science & Business Media |
Total Pages | : 181 |
Release | : 2010-03-18 |
Genre | : Mathematics |
ISBN | : 3642107915 |
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 | : Piet de Jong |
Publisher | : Cambridge University Press |
Total Pages | : 207 |
Release | : 2008-02-28 |
Genre | : Business & Economics |
ISBN | : 1139470477 |
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 | : Mark Goldburd |
Publisher | : |
Total Pages | : 106 |
Release | : 2016-06-08 |
Genre | : |
ISBN | : 9780996889728 |
Author | : Pietro Parodi |
Publisher | : CRC Press |
Total Pages | : 590 |
Release | : 2014-10-15 |
Genre | : Business & Economics |
ISBN | : 1466581441 |
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 | : Edward W. Frees |
Publisher | : Cambridge University Press |
Total Pages | : 337 |
Release | : 2016-07-27 |
Genre | : Business & Economics |
ISBN | : 1316720527 |
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 | : Edward W. Frees |
Publisher | : Cambridge University Press |
Total Pages | : 585 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 0521760119 |
This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.
Author | : Greg Taylor |
Publisher | : |
Total Pages | : 100 |
Release | : 2016-05-04 |
Genre | : |
ISBN | : 9780996889704 |
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 | : Rob Kaas |
Publisher | : Springer Science & Business Media |
Total Pages | : 394 |
Release | : 2008-12-03 |
Genre | : Business & Economics |
ISBN | : 3540867368 |
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 | : Yiu-Kuen Tse |
Publisher | : Cambridge University Press |
Total Pages | : 541 |
Release | : 2009-09-17 |
Genre | : Business & Economics |
ISBN | : 0521764653 |
This class-tested undergraduate textbook covers the entire syllabus for Exam C of the Society of Actuaries (SOA).
Author | : Simon Wood |
Publisher | : CRC Press |
Total Pages | : 412 |
Release | : 2006-02-27 |
Genre | : Mathematics |
ISBN | : 1584884746 |
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.