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Edward W. (Jed) Frees is a Fellow of both the Society of Actuaries (SoA) and the American Statistical Association (ASA). There are about seventeen thousand members of the SoA and twenty thousand members of the ASA: of these, Professor Frees is the only Fellow of both organizations. He served as founding chairperson and as a council member of the Society of Actuaries' Education and Research Section; he has also served as a Trustee of the Actuarial Foundation. In 1999, Professor Frees served as an actuarial representative to the Social Security
Advisory Board's Technical Panel on Methods and Assumptions; this panel provided advice to the federal government on the long-term solvency of the Social Security system. Professor Frees was the Editor of the North American Actuarial Journal and is an Associate Editor for Insurance: Mathematics and Economics.
A Few Representative Papers:
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Nonparametric renewal function estimation. Annals of Statistics 14, 1366-1378, 1986.
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Estimating the volatility of discrete stock prices. (D. Cho and E. Frees) Journal of Finance 43, 451-466, 1988. A more detailed version of this paper has been reprinted in Research in Finance, volume 8 (1990), pp. 23-57, JAI Press.
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Assessing cross-sectional correlations in panel data. Journal of Econometrics 68, 393-414, 1995.
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Annuity valuation with dependent mortality (E. W. Frees, J. Carriere and E. Valdez.) Journal of Risk and Insurance 63, 229-261, 1996. This paper was awarded the Actuarial Education and Research Fund's 1998 Halmstad Prize for best paper in the actuarial literature.
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Influence diagnostics for longitudinal models (M. Banerjee and E. W. Frees). Journal of the American Statistical Association 92, 999-1005, 997.
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Forecasting Social Security actuarial assumptions (with discussion, E.W. Frees, Y.-C. Kung, M. Rosenberg, V. Young and S.-W. Lai), 1997. North American Actuarial Journal volume 1, No. 4, 49-82. This paper was awarded the Actuarial Education and Research Fund's 1999 Halmstad Prize for best paper in the actuarial literature and the 1988 Ed Lew award by the Society of Actuaries.
Some Working Papers (in pdf format):
- Prohibitions on health insurance underwriting, by M Browne and EW Frees, January 2004
- Hierarchical insurance claims modeling, by EW Frees and E. Valdez, Aug 2007
- Actuarial Applications of a Hierarchical Insurance Claims Model, by EW Frees, P. Shi and E. Valdez, Feb 2008
- Fixed effects estimation in multilevel models, by J.-S. Kim and EW Frees, December 2005
- Predicting the frequency and amount of healthcare expenditures, by EW Frees, J. Gao and MA Rosenburg, Aug, 2005
- Long-tail Longitudinal Modeling of Insurance Company Expenses, by Peng Shi, EW Frees, Nov 2008
- A multilevel analysis of intercompany claim counts, by K Antonio, EW Frees and EA Valdez, Dec 2008
Pension Plan Turnover and Social Security Reports:
Presentations:
Additional Data and Statistical Code:
- SAS Code for simulations in "Empirical standard errors for longitudinal data mixed linear models," by EW Frees and C. Jin, October 2004, Computational Statistics 19, 455-475.
- "Case studies using panel data models" (EW Frees, VR Young, and Y Luo). North American Actuarial Journal volume 4, No. 4, 24-42. SAS Code is here. Variable descriptions are here. Data set 1 (in text). Data set 2 (in text). Data set 3 (in text).
- "Understanding relationships using copulas" (EW Frees and E. Valdez). North American Actuarial Journal volume 2, No. 1, 1-25. Data set (in text). Variable descriptions are here.
- SAS Code for simulations in "Assessing cross-sectional correlations in panel data," by EW Frees, 1995, Journal of Econometrics 69(2), 393-414.
- "Credibility using copulas" (EW Frees and P Wang). North American Actuarial Journal volume 9, No. 2, SAS Code is here. Variable descriptions are here. Data set (in text).
Administrative:
Office: 4112 Grainger Hall
Telephone: (608) 262-0429
Fax: (608) 265-4195
Email: jfrees@bus.wisc.edu
Mailing Address: School of Business, 975 University Avenue, Madison, WI 53706 USA
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