Practical Mixed Models for Actuaries
by Ernesto Schirmacher, PhD, FSA, CSPA
Practical Mixed Models for Actuaries introduces actuaries to the powerful framework of mixed models, which extend linear and generalized linear models by incorporating credibility principles. Several well-known credibility models are shown to be special cases of the linear mixed model, allowing actuaries to leverage standard statistical tools to assess, refine, and extend them. The text then introduces generalized linear mixed models, relaxing some of the constraints of the linear mixed model and enabling broader applications in the insurance industry.
While rigorous, the focus of this monograph is on practical applications, providing actuaries with the tools they need to implement these models in practice. Ample R code and supporting examples are included, allowing practitioners to replicate analyses and adapt them to their own use cases. Each chapter builds on the concepts from the previous chapter, showing the progression from Linear Models to Generalized Linear Mixed Models. The final chapter provides several illustrative applications of mixed models in realistic scenarios, demonstrating their value across a range of actuarial practice areas.
About the Author
Ernesto Schirmacher, PhD, FSA, CSPA, studied undergraduate mathematics at the University of Rochester. He earned a PhD in algebraic combinatorics from the University of Minnesota and began his career as a technical underwriter for Agrippina Ruckversicherung in Cologne, Germany. He then transitioned to the actuarial department, focusing on pricing life and health reinsurance contracts for clients in Latin America. In 2001, he moved to Boston to work in the corporate actuarial department of Liberty Mutual on various projects, including asbestos reserving, economic scenario generation, asset modeling, and the application of statistical models in pricing and reserving. In 2019, he left the industry and began teaching mathematics, statistics, and actuarial science at Bentley University. He is a fellow of the Society of Actuaries and a Certified Specialist in Predictive Analytics. He volunteers with various groups from the Casualty Actuarial Society and The CAS Institute.
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