NMAK22003U Empirical Bayes and Generalized Linear Mixed Models *CHANGES TO WORKLOAD AND EXAM
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
Empirical Bayes methods; Conjugate families; Compound models with left truncated data; Linear mixed models (LMM); Generalized linear mixed models (GLMM); Hierarchical generalized linear mixed models (HGLM).
The aim of the class is to show how standard and not so standard statistical models can be extended to include random parameters. In insurance this is useful when policyholders can naturally be segmented into groups, so that policies within a group are not independent. For actual solutions of these models numerical integration is often required, but sometimes analytical results are available and we shall pursue some of these. During the course the students will use R programs with some data from insurance. Some more basic programming will also be required.
Notes written by the lecturer
- Category
- Hours
- Lectures
- 21
- Preparation
- 152
- Exercises
- 21
- Exam
- 12
- Total
- 206
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- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutes, no preparation time
- Exam registration requirements
To be allowed to take the exam two compulsory homeworks must be approved. These can be done in groups.
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner
- Re-exam
Oral reexam. Questions not known in advance. If the two mandatory homework assignments were not approved before the ordinary exam they must be resubmitted. They must be approved three weeks before the beginning of the re-exam week.
Criteria for exam assesment
See Learning Outcome.
Course information
- Language
- English
- Course code
- NMAK22003U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 4
- Schedule
- C
- Course capacity
- Unlimited
The number of seats may be reduced in the late registration period
Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinators
- Jostein Paulsen (7-74797d7e6f73784a776b7e7238757f386e75)
Lecturers
Jostein Paulsen