Research Catalog

Title

Regression modeling with actuarial and financial applications / Edward W. Frees.

Author

Frees, Edward W.

Publication

Cambridge ; New York : Cambridge University Press, 2010.

Supplementary Content

• Contributor biographical information
• Publisher description

Items in the Library & Off-site

Holdings

Details

Description

xvii, 565 pages : illustrations; 25 cm.

Summary

"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"--Back cover.

Series Statement

International series on actuarial science

Uniform Title

International series on actuarial science.

Subject

• Insurance > Statistical methods
• Finance > Statistical methods
• Regression analysis
• Finanzmathematik
• Regressionsanalyse
• Versicherungsmathematik
• Regression > Finanzmathematik
• Finanzmathematik > Regression (Math.)
• Versicherungsmathematik > Regression (Math.)
• Regression > Versicherungsmathematik

Bibliography (note)

• Includes bibliographical references and index.

Contents

1. Regression and the Normal Distribution -- pt. I. Linear Regression -- 2. Basic Linear Regression -- 3. Multiple Linear Regression -- I -- 4. Multiple Linear Regression -- II -- 5. Variable Selection -- 6. Interpreting Regression Results -- pt. 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 -- pt. III. Topics in Nonlinear Regression -- 11. Categorical Dependent Variables -- 12. Count Dependent Variables -- 13. Generalized Linear Models -- 14. Survival Models -- 15. Miscellaneous Regression Topics -- pt. 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.

ISBN

• 9780521760119
• 0521760119
• 9780521135962 (pbk.)
• 0521135966 (pbk.)

LCCN

2009032791

OCLC

• ocn435917662
• 435917662
• SCSB-9242688

Owning Institutions

Columbia University Libraries