Course: Jed Frees

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Book Project: Regression Modeling with Actuarial and Financial Applications, Cambridge University Press (2010). Here is some support material for the book, including data and statistical code.

Book: Longitudinal and Panel Data: Analysis and Applications for the Social Sciences, Cambridge University Press (2004). Here is some support material for the book, including data, statistical code and overhead presentations.

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Professor Edward W (Jed) Frees

Assurant Health Professor of Actuarial Science
Actuarial Science, Risk Management and Insurance Department

Degree
PhD, University of North Carolina

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 as well as the Board of Directors of the Society of Actuaries; he has also served as a Trustee of the Actuarial Foundation. In 1999, Professor Frees served as an actuarial representative to the Social SecurityAdvisory 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:

Nonparametric renewal function estimation. Annals of Statistics 14, 1366-1378, 1986.
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.
Assessing cross-sectional correlations in panel data. Journal of Econometrics 68, 393-414, 1995.
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.
Influence diagnostics for longitudinal models (M. Banerjee and E. W. Frees). Journal of the American Statistical Association 92, 999-1005, 997.
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.
Hierarchical insurance claims modeling (E.W. Frees and E. Valdez). Journal of the American Statistical Association 103 (484), 1457-1469.

Some Working Papers (in pdf format):

Prohibitions on health insurance underwriting, by M Browne and EW Frees, January 2004
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, Sept, 2009
Long-tail Longitudinal Modeling of Insurance Company Expenses, by Peng Shi, EW Frees, Oct 2009
A multilevel analysis of intercompany claim counts, by K Antonio, EW Frees and EA Valdez, Nov 2009
Household Life Insurance Demand - a Multivariate Two-Part Model, by EW Frees and Y Sun, Sept 2009
Dependent Multi-Peril Ratemaking Models, by EW Frees, G. Meyers and D. Cummings, Oct 2009

Pension Plan Turnover and Social Security Reports:

Phase I Report, pdf format, July 22, 2003
Phase II Report - Exposure Draft, pdf format, December 13, 2003
Summary of the Social Security Administration Projections of the OASDI System.
Social Security Advisory Board, Washington, D.C.

Presentations:

Copulas and Regression, July 15, 2009, pdf format, abstract and references, Rcode for producing many of the figures in the talk
Copula Credibility for Aggregate Loss Models, pdf format, July 7, 2005
Second Brazilian Conference on Statistical Modelling in Insurance and Finance
Short Course Lecture 1, Lecture and Data Example
Short Course Lecture 2, Lecture and Data Example

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).