New CAS Monograph Introduces Mixed Modeling to Property-Casualty Actuaries
The newest addition to the Casualty Actuarial Society’s (CAS’s) monograph series is “Practical Mixed Models for Actuaries,” written by Ernesto Schirmacher, professor at Bentley University. CAS monographs are peer-reviewed, authoritative works that provide in-depth analysis on important topics within property and casualty actuarial practice. This work delves deeply into the powerful framework of mixed models and provides a practical introduction for working actuaries to apply these tools to their work.
“Since the adoption of generalized linear models (GLMs), actuaries have long grappled with how to best incorporate credibility into predictive models,” said Brandon Smith, Editor-in-Chief of CAS monographs. “Alongside LASSO (Monograph 13), mixed models provide another powerful approach to integrating credibility within a modern modeling framework. With the release of Monograph 14, actuaries now have a comprehensive and rigorous introduction to mixed modeling.”
The volume details the development of generalized linear mixed models and how they progressed from linear models. A section on practical applications explores using these models in auto bodily injury claims, hospital length of stay, and bus insurance, while giving readers hands-on experience with in-text exercises.
“Ernesto Schirmacher has done an outstanding job not only in writing a thoughtful and accessible exposition of this challenging topic,” continued Smith, “but also in equipping actuaries with practical tools by including extensive R code. This allows readers to go beyond theory and immediately apply the concepts in practice. We are deeply grateful to Professor Schirmacher for providing the actuarial community with this valuable and timely reference on mixed models.”
CAS Monographs expand the body of knowledge available to actuaries, offering in-depth explorations of key topics that have a direct impact on their work. This latest addition to the series underscores how the CAS is committed to providing CAS members with the research and resources they need to advance their careers.
