# Questions tagged [actuarial-science]

Questions relating to financial risk; often, but not limited to, insurance. This includes questions regarding stochastic distribution of cash flows, probability of ruin, financial payments above a threshold, etc.

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### linear mixed model intrinsic aliasing

A bunch of us are studying for an upcoming actuarial exam and none of us understands item II. doesn't result in intrinsic aliasing. We've calculated the V = ZDZ' +R_1 matrix and as far as we can tell, ...
7 views

### Determining climate change effect on mortality rate time series

I am currently conducting research in determining the impact of climate change on mortality. I have got time series of the number of deaths for different age groups which dividing them by their ...
1 vote
89 views

### How to setup the Panjer's recursion correctly?

I have a table of $k=(0,1,2,3,4,5,6)$ and $number=(40544,8082,1205,145,20,3,1)$ I need to fit data by a Compound Poisson-Gamma distribution and then make a discretization and compare results with ...
19 views

### Introduce a new variable to GLM

I have this one interview question regarding GLM model and would love some insights into method/product sense/common sense input. -Consider this car insurance pricing model: y (car price) = B1 * ...
1 vote
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1 vote
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### Independence of censoring time $C$ and event time $T$ for randomised entry to a study

While reading through the textbook 'Modern Applied Statistics With S' by Venables and Ripley, I came across the following paragraph detailing the different types of censoring possible when dealing ...
198 views

### solvency capital requirement using copulas in R

I want to prove that using copulas the SCR for solvency 2 can be lower than using the standard formula. In the following code I simulate three different distributions, I calculate the scr and then I ...
35 views

### Estimating coefficients of a large categorical variable

I'm trying to fit a GLM model with a categorical variable with 400 categories, and I'd like to reduce the number of categories. There are some categories with a lot of data, and a lot of categories ...
108 views

### Do good Cross-Validation results imply good QQ-plot results?

In Edward Frees' book Predictive Modeling Applications in Actuarial Science, Volume 2 the first chapter goes over how to build a frequency GLM model (using a Poisson distribution) on sample auto-...
1 vote
44 views

### Hazard rate from Weibull vs. cumulative hazard plot does not match

) My problem is that I have HR for a factor named "Selvrisiko" and I get the output estimates (HR) (Upper bound) (Lower bound) as: but when I plot (Kaplan - Meier) cumulative hazard for the ...
42 views

### Obvious demonstration of the posterior density of normal laws in bayesian inference

Given the observations' density $f(X|\theta) = \mathcal{N}(\theta,1)$ and the prior density $f(\theta) = \mathcal{N}(0,\sigma^2)$, it it is said that it is obvious that the posterior density is equal ...
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### Correlation Between Years for Similar Population

A common problem in insurance is to predict the amount (number, severity, or aggregate total) of losses in the next year for a book of business (eg. all personal auto policies). To do this, one can ...
52 views

### What are good resources on nonlife actuarial science as it is being applied in industry?

I have already browsed my way through the book Nonlife Actuarial Models: Theory, Methods and Evaluation by Yiu-Kuen Tse and I am already familiar with nearly all of the underlying statistics in that ...
1 vote
62 views

### What to do when you don't have a lot of data?

I understand that there won't necessarily be a great answer to this, but I'd like to hear what people would do in this situation. Here's the data situation: I have about 30K policy records of which ...
1 vote