Chapterhybrid2022

Generalized Linear Models

31 citations0/0 files storedSpringer Actuarial

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Probability and Risk Models Insurance and Financial Risk Management Statistical Distribution Estimation and Applications

Abstract

Abstract This chapter discusses state-of-the-art statistical modeling in insurance and actuarial science, which is the generalized linear model (GLM). We discuss GLMs in the light of claim count and claim size modeling, we present feature engineering, model fitting, model selection, over-dispersion, zero-inflated claim counts problems, double GLMs, and insurance-specific issues such as the balance property for having unbiasedness.

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1997A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting 2010To Explain or to Predict?2011Making and Evaluating Point Forecasts 2008Generalized Linear Models for Insurance Data 1995Bonus-Malus Systems in Automobile Insurance 2010Non-Life Insurance Pricing with Generalized Linear Models 2002Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling 1994Fitting Tweedie's compound poisson model to insurance claims data

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