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© 2010

Non-Life Insurance Pricing with Generalized Linear Models

  • Written for actuaries and actuariel students

  • Meets the European Core Syllabus for actuarial education

  • Additional real data for deeper understanding available

Textbook

Part of the EAA Lecture Notes book series (EAAS)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Esbjörn Ohlsson, Björn Johansson
    Pages 1-14
  3. Esbjörn Ohlsson, Björn Johansson
    Pages 15-38
  4. Esbjörn Ohlsson, Björn Johansson
    Pages 39-69
  5. Esbjörn Ohlsson, Björn Johansson
    Pages 71-99
  6. Esbjörn Ohlsson, Björn Johansson
    Pages 101-133
  7. Back Matter
    Pages 135-174

About this book

Introduction

Setting the price of a non-life insurance policy involves the statistical analysis of insurance data, taking into consideration various properties of the insured object and the policy holder. Introduced by British actuaries, generalized linear models (GLMs) have by now become a standard approach used for pricing in many countries. The book focuses on methods based on GLMs that have been found useful in actuarial practice. Basic theory of GLMs in an insurance setting is presented, with useful extensions that are not in common use. The book can be used in actuarial education designed to meet the European Core Syllabus and is written for actuarial students as well as practicing actuaries. To support the readers, it contains case studies using real data of some complexity that are available on the www.

Keywords

Factor GLM Generalized linear model Non-life insurance SAS Tariff analysis complexity education model object probability set statistics tool

Authors and affiliations

  1. 1.Länsförsäkringar AllianceStockholmSweden

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

From the reviews:

“This book presents the basic theory of generalized linear models (GLMs) in a tariff analysis setting and also gives some useful extension of standard GLM theory. Many theoretical results of this book are supplemented by several examples and numerical illustrations. Plenty of useful exercises finish each chapter of the book. The textbook is intended for practicing actuaries and actuarial students with a background in mathematics and mathematical statistics.” (Jonas Šiaulys, Zentralblatt MATH, Vol. 1194, 2010)