Description: This is an abstract for the paper, Analysis of Costs for a Chronic Disease with Acute High Cost Episodes by Marjorie Rosenberg and Philip Farrell.

Description: This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes towns with a history of insurance claims available for each risk class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression that also encompasses Weibull and Gamma regressions. Copulas are used to model the dependencies over time specifically, this paper is the first to propose using a t-copula in the context of generalized linear models. The t-copula is the copula associated with the multivariate t-distribution like univariate t-distributions, it seems especially suitable for empirical work. Moreover, we show that the t-copula gives rise to easily computable predictive distributions that we use to generate credibility predictors. Like Bayesian methods, our copula credibility prediction methods allow us to provide an entire distribution of predicted claims, not just a point prediction.

Description: A book review by Scott McInturff of The Signal and the Noise: Why So Many Predictions Fail - But Some Don't authored by Nate Silver.

Description: This is a presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. This paper discusses the reserving of claims when there are negative values in the runoff triangle. It uses the Bayesian analysis method using the three-parameter log-normal distribution.

Description: This article describes a method that can be useful when re-fitting a risk score model to a population of only moderate size. Learn how to use concepts like ridge regression to train a model with partial credibility.

Description: In this Chapter we present a novel way for estimating aggregated EC figures based on Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation matrix we derive a probability distribution of possible correlation matrices that enables us to tackle the important issue of parameter uncertainty. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Premium computation in a Bayesian context requires the use of a prior distribution [structure function] that the risk parameter follows in the heterogeneous portfolio. This paper contributes to the analysis of credibility theory by identifying the unique relationship between the prior distribution and credibility formula. The latter corresponds to a suggestive form of expressing the premium to be charged to a policyholder as a weighted sum of the sample mean and collective premium. Results for net premium principle and Poisson and negative binomial likelihood functions are shown.

Description: This is a presentation from the Actuarial Research Conference in August 2006 in Montreal. It is on Bayesian Inference Resistant to Outliers. Presented by Alain Desgagne.

Description: An in-depth look at how actuarial skills and competencies picked up in the field can be applied to topics that aren't traditionally actuarial - with this article focusing on card counting in the casino game blackjack.