Generalized Linear Models and Survival Models

This will focus on generalized linear models (GLM). GLM modeling not only provides a foundation tool used in property and casualty (IARD) ratemaking but also provides the basics for understanding survival modeling. Specifically we will cover logistic and probit model which provides the basis for understanding calibration of Markov (survival) models.

This portion of the course is based on my textbook, Regression Modeling with Actuarial and Financial Applications. Specifically, we will cover:

• • Chapter 11 on Categorical Dependent Variables

  • Chapter 12 on Count Dependent Variables

  • Chapter 13 on Generalized Linear Models

As before,

• • An online version is available for you in the next few months at http://www.ssc.wisc.edu/~jfrees/regression/ the password (needed for Chaps 3 and on) is "@ S R M I" without quotes, without spaces.

  • For resources associated with the textbook, please visit the Regression Modeling book web site.

We will also cover Chapter 8 of Loss Data Analytics to show how this is used in an insurance pricing context.