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2004 Discussion Paper Program - Applying and Evaluating Generalized Linear Models Including Research Papers on the Valuation of P&C Insurance Companies

2004 Discussion Paper Program - Applying and Evaluating Generalized Linear Models Including Research Papers on the Valuation of P&C Insurance Companies

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A Practitioner's Guide to Generalized Linear Models
Duncan Anderson, FIA, Sholom Feldblum, FCAS, MAAA, Claudine Modlin, FCAS, MAAA, Doris Schirmacher, FCAS, Ernesto Schirmacher, ASA, and Neeza Thandi, FCAS, MAAA

Errata for "A Practitioner's Guide to Generalized Linear Models" (updated December 9, 2008)

  • An error was discovered in formula 1.72a. The original formula was missing a factor of (1-p) in the denominator and a weight in the numerator.
  • 1.63 summation changed to be over k
  • 1.66 summation changed to be over k
  • 2.111 - wording clarified
  • Appendix B - correction to formula for c(y,f) for Inverse Gaussian - should be 2pfy3/w
  • Appendix E - correction to last formula

    The paper above replaces the original published paper.

A Primer on the Exponential Family of Distributions
David R. Clark, FCAS, MAAA, and Charles A. Thayer

Severity Distributions for GLMs: Gamma or Lognormal? Evidence from Monte Carlo Simulations
Luyang Fu, Ph.D. and Richard B. Moncher, FCAS, MAAA

A Practitioner's Approach to Marine Liability Pricing Using Generalised Linear Models
Brian Gedalla, Msc, CStat, FSS, D. Jackson, BSc(Hons), FSS, and D. E. A. Sanders, FIA, ASA, MAAA, FSS

Multivariate Spatial Analysis of the Territory Rating Variable
Serhat Guven, FCAS

Testing the Significance of Class Refinement
Leigh J. Halliwell, FCAS, MAAA

Enhancing Generalised Linear Models with Data Mining
Dr. Inna Kolyshldna, Sylvia Wong, and Steven Lim

Estimating Claim Settlement Values Using GLM
Roosevelt C. Mosley Jr., FCAS, MAAA

Combining Credibility and GLM for Rating of Multi-Level Factors
Esbjörn Ohlsson and Björn Johansson

Loss Reserving with GLMs: A Case Study
Greg Taylor and Grainne McGuire

The Case of the Medical Malpractice Crisis: A Classic Who Dunnit
Robert J. Walling III, FCAS, MAAA

Research Papers on The Valuation of P&C Insurance Companies

The Application of Fundamental Valuation Principles to Property/Casualty Insurance Companies
Wayne E. Blackburn, FCAS, MAAA, Derek A. Jones, ACAS, MAAA, Joy A. Schwartzman, FCAS, MAAA, and Dov Siegman

Acquisition Valuation of P&C Insurance Companies
Jaroslav Danhel and Petr Sosik

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