Edward (Jed) Frees
Emeritus Hickman Larson Chair of Actuarial Science
Risk and Insurance Department, University of Wisconsin-Madison
Degree: PhD, University of North Carolina
Edward W. (Jed) Frees is a Fellow of both the Society of Actuaries (SoA) and the American Statistical Association (ASA). There are about twenty seven thousand members of the SoA and twenty thousand members of the ASA: of these, Professor Frees is the only Fellow of both organizations. He served as founding chairperson of the Society of Actuaries' Education and Research Section as well as a member of the Board of Directors of the Society of Actuaries; he has also served as a Trustee of the Actuarial Foundation. In 1999, Professor Frees served as an actuarial representative to the Social Security Advisory Board's Technical Panel on Methods and Assumptions; this panel provided advice to the federal government on the long-term solvency of the Social Security system. Professor Frees was the Editor and is currently on the Honorary Advisory Board for the North American Actuarial Journal. He is also an Associate Editor for Insurance: Mathematics and Economics and Annals of Actuarial Science.
Professor Frees also has an affiliate appointment with the Australian National University.
Award Winning Papers:
Stochastic life contingencies with solvency considerations (with discussion) (1990). Transactions of the Society of Actuaries 42, 91-148. This paper was awarded the Society of Actuaries' 1991 Annual Prize for best paper published by the Society and the Actuarial Education and Research Fund's 1992 Halmstad Prize for best paper in the actuarial literature.
Had three papers that shared the inaugural 1997 Edward A. Lew award (a $15,000 prize), for the “best paper in insurance modeling.” The papers selected were: (1) “Forecasting Social Security Actuarial Assumptions” (Frees, Kung, Rosenberg, Young and Lai), (2) “Understanding Relationships Using Copulas” (Frees and Valdez) and (3) “A Longitudinal Data Analysis Interpretation of Credibility Models” (E.W. Frees, V.R. Young and Y. Luo).
International property-liability insurance consumption (M.J. Browne, J. Chung and E.W. Frees). Journal of Risk and Insurance 67, 73-90. This paper won the Research Award, given by the International Insurance Society, for the best paper presented at their 1997 annual meeting.
Awarded the 1998 Halmstad Prize by the Actuarial Education and Research Fund for the paper, “Annuity valuation with dependent mortality” (E. W. Frees, J. Carriere and E. Valdez) Journal of Risk and Insurance 63, 229-261.
Awarded the 1999 Halmstad Prize by the Actuarial Education and Research Fund for the paper, “Forecasting Social Security actuarial assumptions (with discussion)” (E.W. Frees, Y.-C. Kung, M. Rosenberg, V. Young and S.-W. Lai) North American Actuarial Journal volume 1, No. 4, 49-82.
Awarded the 2010 Hachemeister Prize by the Casualty Actuarial Society for the best paper published by the International Actuarial Association in a given year. The award was for the paper, “Actuarial applications of a hierarchical insurance model” (Edward Frees, Peng Shi and Emiliano Valdez) published in the Astin Bulletin 39 (1), 165-197.
Awarded the 2011 Halmstad Prize by the Actuarial Foundation for the best paper published in the actuarial literature in a given year. The award was for the paper, "Hierarchical insurance claims modeling published in the Journal of the American Statistical Association, (Edward Frees and Emiliano Valdez) Vol. 103(484), 1457-1469.
Awarded the 2015 ARIA Award (American Risk Insurance Association) by the Casualty Actuarial Society for the paper "Insurance Ratemaking and a Gini Index" published in the Journal of Risk and Insurance (Edward Frees, Glenn Meyers and A. David Cummings) Vol. 81 (2), 335-366.
Awarded the 2018 Kulp-Wright Book Award by the American Risk Insurance Association for co-Editing the book Predictive Modeling Applications in Actuarial Science: Case Studies in Insurance (Cambridge University Press, 2016).
Awarded the 2017 Annual Prize by the Society of Actuaries for the best paper published by the Society in a given year. The award was for the paper, "Insurance portfolio risk retention" published in the North American Actuarial Journal 21 (4), 526-551.
Other Representative Papers:
Nonparametric renewal function estimation. Annals of Statistics 14, 1366-1378, 1986.
Understanding relationships using copulas (E. W. Frees and E. Valdez). North American Actuarial Journal 2 (1), 1-25, 1998. This article has been reprinted in The Foundations of Credit Risk Analysis (2007).
Estimating the volatility of discrete stock prices. (D. Cho and E. Frees) Journal of Finance 43, 451-466, 1988. A more detailed version of this paper has been reprinted in Research in Finance, volume 8 (1990), pp. 23-57, JAI Press.
Assessing cross-sectional correlations in panel data. Journal of Econometrics 68, 393-414, 1995.
Influence diagnostics for longitudinal models (M. Banerjee and E. W. Frees). Journal of the American Statistical Association 92, 999-1005, 1997.
Multilevel model prediction. (E.W. Frees and J.-S. Kim) Psychometrika 71(1), 79-104, 2006 .
Summarizing insurance scores using a Gini index (Edward Frees, Glenn Meyers and A. David Cummings). Journal of the American Statistical Association 106, 1085-1098, 2011.
Pension Plan Turnover and Social Security Reports:
Phase I Report, pdf format, July 22, 2003
Phase II Report - Exposure Draft, pdf format, December 13, 2003
Summary of the Social Security Administration Projections of the OASDI System. Social Security Advisory Board, Washington, D.C.
A Few Presentations - BC (Before Covid)
Predictive Modeling of Multi-Peril Homeowners Insurance, March 28, 2011. Invited presentation at the Midwestern Actuarial Forum, Chicago.
Individual Risk Predictive Modeling, June 17, 2010. Plenary presentation at the 14th International Congress on Insurance: Mathematics and Economics Conference, Toronto.
Copulas and Regression, July 15, 2009, pdf format, abstract and references, Rcode for producing many of the figures in the talk
Copula Credibility for Aggregate Loss Models, pdf format, July 7, 2005
Actuarial Education and Technology Enhanced Learning, University of St. Thomas, April 18, 2013
Predictive Modeling of Insurance Company Operations, May 22, 2013. Invited presentation at the 2013 Astin Colloquium.
Insurance Company Operations and Dependence Modeling, January 4, 2014. Invited presentation at the 2014 International Workshop on High-Dimensional Dependence and Copulas
Analytics of Insurance Markets, December 16, 2014. Invited presentation at the CRM-CANSSI Workshop on New Horizons in Copula Modeling.
Analytics of Insurance Markets, June 26, 2015. Invited presentation at the Fifth International IMS-FIPS Workshop. Similar presentation given to the Board of Directors of the Zurich Insurance Group, Barcelona, February, 2016.
Funding for Education and Research, August 8, 2015. Presentation at the Actuarial Research Conference.
Insurance Portfolio Risk Retention, September, 2015- March 2016. Different versions of this presentations were made at KU-Leuven, Amsterdam School of Economics, University of Barcelona, National Central University (Taiwan), National Chengchi University (Taiwan), Academia Sinica (Taiwan) and the Recent Advances in Actuarial Mathematics conference held in Oaxaca, Mexico.
Modeling Claims Data: Copulas and other Predictive Analytic Tools, April 2016. Presentation to AIG Research, New York.
Copulas: A Tool for Modeling Dependent Insurance Risks, Nov 2016. Presentation as the
"Special Semester in Actuarial and Financial Mathematics" University of Connecticut.
Modeling Loss Data: Endorsements and Portfolio Management, Nov 2016. Presentation to Travelers, Hartford, CT.
Open Actuarial Textbooks Project, July 2017. Presentation at the Actuarial Research Conference.
Modeling Dependent Insurance Risks: Customer Loyalty and Risk in Personal Insurance,January 2018 Different versions of this presentation given at the University of Illinois, American University in Cairo, Cairo University, Miami University, and at the Actuarial and Financial Mathematics Conference, in Brussels. Here is an interactive demo that supports this work; here is the source code for the demo.
Predictive Analytics and Medical Errors, Dec 2017. Presentation at the Advances in Predictive Analytics conference, Waterloo. Similar presentation given at the Séminaire du Fonds Conrad-Leblanc, Laval University, Quebec City.
Additional Data and Statistical Code:
"Case studies using panel data models" (EW Frees, VR Young, and Y Luo). North American Actuarial Journal volume 5, No. 4, 24-42. SAS Code is here. Variable descriptions are here. Data set 1 (in text). Data set 2 (in text). Data set 3 (in text).
"Understanding relationships using copulas" (EW Frees and E. Valdez). North American Actuarial Journal volume 2, No. 1, 1-25. Data set (in text). Variable descriptions are here.
"Credibility using copulas" (EW Frees and P Wang). North American Actuarial Journal volume 9, No. 2, SAS Code is here. Variable descriptions are here. Data set (in text).
Continuing Education - International Short Courses
I enjoy conducting international short courses. Here is a sample of some that I have done.
Sao Paulo, Brazil. Second Brazilian Conference on Statistical Modeling in Insurance and Finance, three days, 2005.
Short Course Lecture 1, Lecture and Data Example
Short Course Lecture 2, Lecture and Data Example
Lausanne, Switzerland on “24th International Summer School of the Swiss Association of Actuaries” (joint with Margie Rosenberg), five days, summer 2011. Course based on my book Regression Modeling with Actuarial and Financial Applications.
Warsaw, Poland short course for the Polish Society of Actuaries (joint with Margie Rosenberg), three days, September 2013. Course based on my book Regression Modeling with Actuarial and Financial Applications.
Bogata, Columbia on “Actuarial Short Course - Predictive Modeling”, three days, June 2014.
Kyoto, Japan short course on “Insurance Analytics: Pricing General Insurance” Five day course, 2016.
Belitung, Indonesia, on “Indonesia Actuarial Analytics Short Course”, five days, July, 2018.
Nanyang Technological University, Singapore, on “Regression Modeling”, four weeks, November 2018 and January, 2019.
Manizales, Columbia on “Actuarial Short Course – Loss Data Analytics”, three days, June 2019.
Dakar, Senegal on “Actuarial Short Course – Survival Modeling with R”, five days, August, 2019.
Canberra, Australia on "Diversifying Insurable Risk Portfolios," two weeks, February, 2023.
Wisconsin Property Fund
Multivariate frequency-severity regression models in insurance (EW Frees, G Lee, L Yang), Risks 4(1), 4.
Insample data (.RData format - in R, you load("~/data.RData"), that is, load the data)
Out sample data (.RData format)
Sample R code (.zip file)
For more information, see the Property Fund project page
Risk Retention and Insurable Risk Portfolios Project:
Actuarial, Finance, Risk and Insurance Congress, July 2023, Zimbabwe. My Presentation Slides/Overheads
Actuarial Research Conference, August 2023, My Presentation Slides/Overheads
Below is a draft of the presentation to the Actuarial Research Conference.
Here is an Investments Allocations Data Demonstration
¿Habla Espanol? - My first presentation in Spanish, at the Evento Regional Atuarial (ERA), 16 November 2023
Open Actuarial Education:
Tutorials on "Multivariate Regression Using Copulas"
UW's Actuarial "Technology Enhanced Learning" Project
Predictive Modeling Applications in Actuarial Science book web site
Article Promoting Open Actuarial Education with Astin (this is a .pdf, go to page 38)
Actuarial Open Educational Resources, with Paul Johnson and Margie Rosenberg (Nov 2021)
Administrative:
Google Scholar List of Citations for my most recent papers.
Dependence Modeling (German statistics journal) did an interview article about me in 2020. Fun.
Fireside Chat with Edward Frees, Education and Research Section Newsletter, June 2022.
Contact Information
Email: jfrees@bus.wisc.edu
Mailing Address: School of Business, 975 University Avenue, Madison, WI 53706 USA