kuliah 7feb 2020.pdf - GENERALIZED LINEAR MODEL INTRODUCTION TO GENERALIZED LINEAR MODELS Program Studi S1 Ilmu Aktuaria Departemen Matematika FMIPA UI

kuliah 7feb 2020.pdf - GENERALIZED LINEAR MODEL...

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GENERALIZED LINEAR MODEL INTRODUCTION TO GENERALIZED LINEAR MODELS Program Studi S1 Ilmu Aktuaria Departemen Matematika FMIPA UI ATA 2019/2020 Fevi Novkaniza, M.Si SCAK603104-MODEL LINIER LANJUT
GENERALIZED LINEAR MODEL Introduction Course Description This course present students with an introduction to the GLM methodology and its applications of interest to actuarial science. I GLM is methodology for modeling relationships between the response and the explanatory variables, predictors or covariates (in some contexts these are called risk factors or rating factors ) I Extend the linear model modeling framework to variables that are not normally distributed which insurance analysts typically encounter I GLMs are most commonly used to model binary or count data, so we will focus on models for these types of data I GLM’s allow also to include nonnormal errors such as Binomial, Poisson and Gamma errors. Fevi Novkaniza, M.Si SCAK603104-MODEL LINIER LANJUT
GENERALIZED LINEAR MODEL Introduction Course Outline 1. Generalized Linear Models : Model Fitting and Inference 2. Models for Binary Data 3. Multinomial Response Models 4. Models for Count Data 5. GLM and its Application in General Insurance Fevi Novkaniza, M.Si SCAK603104-MODEL LINIER LANJUT
GENERALIZED LINEAR MODEL Introduction Text Books and Software 1. Foundation of Linear and Generalized Linear Models (Alan Agresti; Wiley, 2015) 2. GLM for Insurance Data (Jong, Heller; Cambridge University Press, 2008) 3. Non-Life Insurance Pricing with GLM (Ohlsson, Johansson; Springer, 2010) Software : R package Fevi Novkaniza, M.Si SCAK603104-MODEL LINIER LANJUT
GENERALIZED LINEAR MODEL Introduction Component Evaluation 1. Mid-term examination : an in-class closed-book mid term examination will be given (30%) 2. Final Examination : an in-class closed-book final term examination will be given (35%) 3. Assignments : Homework & Quiz (20%) 4. Group Project (15%) Fevi Novkaniza, M.Si SCAK603104-MODEL LINIER LANJUT
GENERALIZED LINEAR MODEL Introduction GLM: Model Fitting and Inference Models 1. Review of Linear Models 2. Exponential Dispersion Family Distributions for a GLM 3. Likelihood and Asymptotic Distributions for GLMs 4. Likelihood-Ratio/Wald/Score Methods for GLM Parameters 5.