Database of Actuarial Research Enquiry (DARE)
Browse CAS Taxonomy
All Categories >
Financial and Statistical Methods >
Statistical Models and Methods >
Generalized Linear Modeling
Found 1 - 25 of 97 matching your search criteria.
A Flexible Framework for Stochastic Claims Reserving
In this paper, a flexible framework for stochastic claims reserving is considered which includes several models proposed to date as special cases...
A GLM-Based Approach to Adjusting for Changes in Case Reserve Adequacy
This paper will address adjusting incurred loss triangles for changes in case reserve adequacy...
A Longlinear Lagrange Poisson Model
Maximum likelihood estimation is derived for the Lagrangnan Poisson distribution for a simple and a loglinear model and illustrated with real data...
A Method for Modelling Varying Run-off Evolutions in Claims Reserving
This paper considers the application of the state space modelling to the chain ladder linear model in order to allow the run-off parameters to vary with accident year...
A Mixed Model for Loss Ratio Analysis
The model introduced may be treated as a mixed two-way analysis of variance with fixed company effects and random time effects...
A Model of Industry General Liability Net Written Premium
The valuation of property/casualty insurance companies is a topic that has been neglected in the actuarial, financial, and economic communities...
A Practitioner's Approach to Marine Liability Pricing Using Generalised Linear Models
Marine Liability underwriters – notably those at the Protection and Indemnity (P&I) Clubs – have traditionally used empirical approaches based on individual risk experiences to arrive at their pricing...
A Practitioner's Guide to Generalized Linear Models
The Practitioner’s Guide to Generalized Linear Models is written for the practicing actuary who would like to understand generalized linear models (GLMs) and use them to analyze insurance data...
A Practitioner's Guide to Generalized Linear Models
The Practitioner's Guide to Generalized Linear Models is written for the practicing actuary who would like to understand generalized linear models (GLMs) and use them to analyze insurance data...
A Primer on the Exponential Family of Distributions
Generalized Linear Model (GLM) theory represents a significant advance beyond linear regression theory, specifically in expanding the choice of probability distributions from the Normal to the Natural Exponential Family...
A Stochastic Model Underlying the Chain-Ladder Technique
This paper presents a statistical model underlying the chain-ladder technique...
A Systematic Relationship Between Minimum Bias and Generalized Linear Models
The minimum bias method is a natural tool to use in parameterizing classification ratemaking plans...
Actuarial Modelling of Longitudinal Claims Data through GAMM's: Some Methodological Results
This paper discusses the type of dependence induced by the Generalized Additive Mixed Model (GAMM) approach to regression analysis with correlated data...
Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family
This paper investigates the practical aspects of applying
the second-order Bayesian revision of a generalized linear
model (GLM) to form an adaptive filter for claims reserving...
An Application of Exponential Dispersion Models in Premium Rating
A practical method of allowing for covariates in compound Poisson modeling distributions is discussed...
An Exposure Based Approach to Automobile Warranty Ratemaking and Reserving
Traditional techniques for analyzing vehicle service contracts rely on loss development techniques...
An Illustration of the Duality Technique in Semi-Continuous Linear Programming
We give a complete parametric solution of the following problem...
An Individual Claims Reserving Model
Traditional Chain Ladder models are based on a few cells in an upper triangle and often give inaccurate projections of the reserve...
Applications of Convex Optimisation in Premium Rating
In this paper we discuss the application of modern mathematical optimization techniques to some of the common problems in insurance premium rating...
Applications of the Offset in Property-Casualty Predictive Modeling
Generalized Linear Model [GLM] theory is a commonly accepted framework for building insurance pricing and scoring models...
Bayes and Empirical Bayes Estimation for the Chain Ladder Model
Many authors have criticized the chain ladder, or "development factor," model as over-parameterized...
Beyond the Cost Model: Understanding Price Elasticity
Once cost models have been constructed, insurers spend a significant amount of time translating those expected cost models into a rating algorithm...
Bootstrap Methodology in Claim Reserving
In this paper, we use the bootstrap technique to obtain prediction errors for different claim reserving methods, namely methods based on the chain ladder technique and on generalised linear models...
Bootstrapping Generalized Linear Models for Development Triangles Using Deviance Residuals
This paper presents a practical study of how to bootstrap a development triangle using a generalized linear model (GLM) and deviance residuals...
Bridging Minimum Bias and Maximum Likelihood Methods Through Weighted Equation
In classification ratemaking, the multiplicative and additive models derived by actuaries are based on two common methods; minimum bias and maximum likelihood...
Return to Browse CAS Taxonomy |