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Regression Modeling with Actuarial and Financial Applications


Part of International Series on Actuarial Science

  • Date Published: February 2010
  • availability: Available
  • format: Paperback
  • isbn: 9780521135962

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About the Authors
  • 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:

    • Provides a link between data analysis and data modelling - explains the role of a model
    • Easy for a first time instructor - many real world data sets included, and a technical appendix provides the instructor with a great deal of flexibility for course coverage
    • Contains many references to different sub-disciplines within the broad field of actuarial science, risk management and finance
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    Reviews & endorsements

    'It would be an ideal text for a semester - or a year-long course in applied statistical methods for actuarial science majors. But it would also be a welcome addition to the bookshelf of pracitcing actuaries at all levels, both actuarial students charged with conducting analyses for which the methods discussed in the book are most relevant, and senior managers who use such analysis as a basis for financial decision making … Perhaps my favorite part of Fee's book is the final two chapters, on Report Writing and Designing Effective Graphs. If these fine essays do not already appear somewhere on the Society of Actuaries syllabus, they should be added immediately.' Ronald C. Neath, The American Statistician

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    Product details

    • Date Published: February 2010
    • format: Paperback
    • isbn: 9780521135962
    • length: 584 pages
    • dimensions: 248 x 174 x 30 mm
    • weight: 0.95kg
    • contains: 139 b/w illus. 142 tables 89 exercises
    • availability: Available
  • 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.

  • Resources for

    Regression Modeling with Actuarial and Financial Applications

    Edward W. Frees

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  • Instructors have used or reviewed this title for the following courses

    • ACSC (Actuarial Science)
    • Advanced Life & Health Insurance
    • Applied Regression and Time Series
    • Econometrics 1 and 2
    • Financial Markets and Institutions
    • Financial Research and Modeling
    • Probability and statistics application 2
    • Regression Analysis
    • Regression Modeling in Finance
    • Regression and Time Series
    • Stat Modeling/Data Analysis ll
    • Time Series
    • Topics In Statistics: Regression Analysis
  • Author

    Edward W. Frees, University of Wisconsin, Madison
    Edward W. (Jed) Frees is a Professor of Business at the University of Wisconsin, Madison and is holder of the Assurant Health Insurance Professorship of Actuarial Science. He is a Fellow of both the Society of Actuaries (SoA) and the American Statistical Association (ASA). Professor Frees is the author of Longitudinal and Panel Data (2004) and has published more than fifty articles in leading refereed academic journals.

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