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Robust Efficient Credibility Models With Heavy Tailed Claims
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Book Synopsis Robust-Efficient Credibility Models with Heavy-Tailed Claims by : Harald Dornheim
Download or read book Robust-Efficient Credibility Models with Heavy-Tailed Claims written by Harald Dornheim and published by . This book was released on 2014 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In actuarial practice, regression models serve as a popular statistical tool for analyzing insurance data and tariff ratemaking. In this paper, we consider classical credibility models that can be embedded within the framework of mixed linear models. For inference about fixed effects and variance components, likelihood-based methods such as (restricted) maximum likelihood estimators are commonly pursued. However, it is well-known that these standard and fully efficient estimators are extremely sensitive to small deviations from hypothesized normality of random components as well as to the occurrence of outliers. To obtain better estimators for premium calculation and prediction of future claims, various robust methods have been successfully adopted to credibility theory in the actuarial literature. The objective of this work is to develop robust and efficient methods for credibility when heavy-tailed claims are approximately log-location-scale distributed. To accomplish that, we first show how to express additive credibility models such as Buhlmann-Straub and Hachemeister as mixed linear models with symmetric or asymmetric errors. Then, we adjust adaptively truncated likelihood methods and compute highly robust credibility estimates for the ordinary but heavy-tailed claims part. Finally, we treat the identified excess claims separately and find robust-efficient credibility premiums. Practical performance of this approach is examined -- via simulations -- under several contaminating scenarios. A widely studied real-data set from workers' compensation insurance is used to illustrate functional capabilities of the new robust credibility estimators.
Book Synopsis Predictive Modeling Applications in Actuarial Science by : Edward W. Frees
Download or read book Predictive Modeling Applications in Actuarial Science written by Edward W. Frees and published by Cambridge University Press. This book was released on 2014-07-28 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is for actuaries and financial analysts developing their expertise in statistics and who wish to become familiar with concrete examples of predictive modeling.
Book Synopsis Predictive Modeling Applications in Actuarial Science: Volume 1, Predictive Modeling Techniques by : Edward W. Frees
Download or read book Predictive Modeling Applications in Actuarial Science: Volume 1, Predictive Modeling Techniques written by Edward W. Frees and published by Cambridge University Press. This book was released on 2014-07-28 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: Predictive modeling involves the use of data to forecast future events. It relies on capturing relationships between explanatory variables and the predicted variables from past occurrences and exploiting this to predict future outcomes. Forecasting future financial events is a core actuarial skill - actuaries routinely apply predictive-modeling techniques in insurance and other risk-management applications. This book is for actuaries and other financial analysts who are developing their expertise in statistics and wish to become familiar with concrete examples of predictive modeling. The book also addresses the needs of more seasoned practising analysts who would like an overview of advanced statistical topics that are particularly relevant in actuarial practice. Predictive Modeling Applications in Actuarial Science emphasizes lifelong learning by developing tools in an insurance context, providing the relevant actuarial applications, and introducing advanced statistical techniques that can be used by analysts to gain a competitive advantage in situations with complex data.
Book Synopsis Model Engineering for Simulation by : Lin Zhang
Download or read book Model Engineering for Simulation written by Lin Zhang and published by Academic Press. This book was released on 2019-02-27 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model Engineering for Simulation provides a systematic introduction to the implementation of generic, normalized and quantifiable modeling and simulation using DEVS formalism. It describes key technologies relating to model lifecycle management, including model description languages, complexity analysis, model management, service-oriented model composition, quantitative measurement of model credibility, and model validation and verification. The book clearly demonstrates how to construct computationally efficient, object-oriented simulations of DEVS models on parallel and distributed environments. Guides systems and control engineers in the practical creation and delivery of simulation models using DEVS formalism Provides practical methods to improve credibility of models and manage the model lifecycle Helps readers gain an overall understanding of model lifecycle management and analysis Supported by an online ancillary package that includes an instructors and student solutions manual
Book Synopsis Case Studies Using Credibility and Corrected Adaptively Truncated Likelihood Methods by : Harald Dornheim
Download or read book Case Studies Using Credibility and Corrected Adaptively Truncated Likelihood Methods written by Harald Dornheim and published by . This book was released on 2019 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two recent papers by Dornheim and Brazauskas (2011a, b) had introduced a new likelihood-based approach for robust-efficient fitting of mixed linear models and showed that it possesses favorable large- and small-sample properties which yield more accurate premiums when extreme outcomes are present in the data. In particular, they had studied regression-type credibility models that can be embedded within the framework of mixed linear models for which heavy-tailed insurance data are approximately log-location-scale distributed. The new methods were called corrected adaptively truncated likelihood methods (or CATL, for short). In this paper, we build upon that work and further explore how CATL methods can be used for pricing risks. We extend the area of application of standard credibility ratemaking to several well-studied examples from property and casualty insurance, health care, and real estate fields. The process of outlier identification, the ensuing model inference, and related issues are thoroughly investigated on the featured data sets. Throughout the case studies performance of CATL methods is compared to that of other robust regression credibility procedures.
Book Synopsis The Fundamentals of Heavy Tails by : Jayakrishnan Nair
Download or read book The Fundamentals of Heavy Tails written by Jayakrishnan Nair and published by Cambridge University Press. This book was released on 2022-06-09 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.
Book Synopsis Handbook of Latent Variable and Related Models by :
Download or read book Handbook of Latent Variable and Related Models written by and published by Elsevier. This book was released on 2011-08-11 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook covers latent variable models, which are a flexible class of models for modeling multivariate data to explore relationships among observed and latent variables. - Covers a wide class of important models - Models and statistical methods described provide tools for analyzing a wide spectrum of complicated data - Includes illustrative examples with real data sets from business, education, medicine, public health and sociology. - Demonstrates the use of a wide variety of statistical, computational, and mathematical techniques.
Download or read book Theory of Reliability written by A. Serra and published by North Holland. This book was released on 1986 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quality, Reliability, Security and Robustness in Heterogeneous Networks by : Xi Zhang
Download or read book Quality, Reliability, Security and Robustness in Heterogeneous Networks written by Xi Zhang and published by Springer. This book was released on 2012-04-23 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-conference proceedings of the 7th International Conference on Heterogeneous Networking for Quality, Reliability, Security and Robustness, QShine 2010. The 37 revised full papers presented along with 7 papers from the allocated Dedicated Short Range Communications Workshop, DSRC 2010, were carefully selected from numerous submissions. Conference papers are organized into 9 technical sessions, covering the topics of cognitive radio networks, security, resource allocation, wireless protocols and algorithms, advanced networking systems, sensor networks, scheduling and optimization, routing protocols, multimedia and stream processing. Workshop papers are organized into two sessions: DSRC networks and DSRC security.
Book Synopsis Reliability Engineering for Industrial Processes by : P. K. Kapur
Download or read book Reliability Engineering for Industrial Processes written by P. K. Kapur and published by Springer Nature. This book was released on with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Models and Methods for Reliability and Survival Analysis by : Vincent Couallier
Download or read book Statistical Models and Methods for Reliability and Survival Analysis written by Vincent Couallier and published by John Wiley & Sons. This book was released on 2013-12-31 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Models and Methods for Reliability and Survival Analysis brings together contributions by specialists in statistical theory as they discuss their applications providing up-to-date developments in methods used in survival analysis, statistical goodness of fit, stochastic processes for system reliability, amongst others. Many of these are related to the work of Professor M. Nikulin in statistics over the past 30 years. The authors gather together various contributions with a broad array of techniques and results, divided into three parts - Statistical Models and Methods, Statistical Models and Methods in Survival Analysis, and Reliability and Maintenance. The book is intended for researchers interested in statistical methodology and models useful in survival analysis, system reliability and statistical testing for censored and non-censored data.
Book Synopsis Empirical Direction in Design and Analysis by : Norman H. Anderson
Download or read book Empirical Direction in Design and Analysis written by Norman H. Anderson and published by Psychology Press. This book was released on 2001-07-01 with total page 879 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of Norman H. Anderson's new book is to help students develop skills of scientific inference. To accomplish this he organized the book around the "Experimental Pyramid"--six levels that represent a hierarchy of considerations in empirical investigation--conceptual framework, phenomena, behavior, measurement, design, and statistical inference. To facilitate conceptual and empirical understanding, Anderson de-emphasizes computational formulas and null hypothesis testing. Other features include: *emphasis on visual inspection as a basic skill in experimental analysis to help students develop an intuitive appreciation of data patterns; *exercises that emphasize development of conceptual and empirical application of methods of design and analysis and de-emphasize formulas and calculations; and *heavier emphasis on confidence intervals than significance tests. The book is intended for use in graduate-level experimental design/research methods or statistics courses in psychology, education, and other applied social sciences, as well as a professional resource for active researchers. The first 12 chapters present the core concepts graduate students must understand. The next nine chapters serve as a reference handbook by focusing on specialized topics with a minimum of technicalities.
Book Synopsis Performance Evaluation of Computer and Communication Systems. Milestones and Future Challenges by : Karin Anna Hummel
Download or read book Performance Evaluation of Computer and Communication Systems. Milestones and Future Challenges written by Karin Anna Hummel and published by Springer Science & Business Media. This book was released on 2011-12-15 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift volume is published in honor of Günter Haring on the occasion of his emerital celebration and contains invited papers by key researchers in the field of performance evaluation presented at the workshop Performance Evaluation of Computer and Communication Systems - Milestones and Future Challenges, PERFORM 2010, held in Vienna, Austria, in October 2010. Günter Haring has dedicated most of his scientific professional life to performance evaluation and the design of distributed systems, contributing in particular to the field of workload characterization. In addition to his own contributions and leadership in international research projects, he is and has been an excellent mentor of young researchers demonstrated by their own brilliant scientific careers. The 20 thoroughly refereed papers range from visionary to in-depth research papers and are organized in the following topical sections: milestones and evolutions; trends: green ICT and virtual machines; modeling; mobility and mobile networks; communication and computer networks; and load balancing, analysis, and management.
Book Synopsis Safety, Reliability and Risk Analysis by : Sebastian Martorell
Download or read book Safety, Reliability and Risk Analysis written by Sebastian Martorell and published by CRC Press. This book was released on 2008-09-10 with total page 3512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Safety, Reliability and Risk Analysis. Theory, Methods and Applications contains the papers presented at the joint ESREL (European Safety and Reliability) and SRA-Europe (Society for Risk Analysis Europe) Conference (Valencia, Spain, 22-25 September 2008). The book covers a wide range of topics, including: Accident and Incident Investigation; Crisi
Book Synopsis Electricity Distribution by : Panagiotis Karampelas
Download or read book Electricity Distribution written by Panagiotis Karampelas and published by Springer. This book was released on 2016-03-01 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to novel, efficient and user-friendly software tools for power systems studies, to issues related to distributed and dispersed power generation, and to the correlation between renewable power generation and electricity demand. Discussing new methodologies for addressing grid stability and control problems, it also examines issues concerning the safety and protection of transmission and distribution networks, energy storage and power quality, and the application of embedded systems to these networks. Lastly, the book sheds light on the implications of these new methodologies and developments for the economics of the power industry. As such, it offers readers a comprehensive overview of state-of-the-art research on modern electricity transmission and distribution networks.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 2008 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt:
