Generalized linear models for insurance data

Piet de Jong*, Gillian Z. Heller

*Corresponding author for this work

Research output: Book/ReportBookpeer-review

180 Citations (Scopus)

Abstract

This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is package-independent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website.

Original languageEnglish
Place of PublicationCambridge, UK; New York
PublisherCambridge University Press
Number of pages196
Edition1
ISBN (Electronic)9780511755408
ISBN (Print)9780521879149
DOIs
Publication statusPublished - 1 Jan 2008

Publication series

NameInternational Series on Actuarial Science
PublisherCAMBRIDGE UNIV PRESS

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