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Regression Modeling with Actuarial and Financial Applications by Edward W. Frees

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12

Count Dependent Variables

Chapter Preview. In this chapter, the dependent variable y is a count, taking on values of zero, one, and two, and so on, which describes a number of events. Count dependent variables form the basis of actuarial models of claims frequency. In other applications, a count dependent variable may be the number of accidents, the number of people retiring, or the number of firms becoming insolvent.

The chapter introduces Poisson regression, a model that includes explanatory variables with a Poisson distribution for counts. This fundamental model handles many datasets of interest to actuaries. However, with the Poisson distribution, ...

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