Linear Mixed Models for Predictive Modelling in Actuarial Science
Chapter 8 in Predictive Modeling Applications in Actuarial Science, Vol. 1 Predictive Modeling Techniques. (Editors E.W. Frees, R.A. Derrig, G. G. Meyers). Cambridge University Press, pages 266-312.
36 Pages Posted: 20 Jan 2014 Last revised: 17 May 2017
Date Written: November 28, 2013
We give a general discussion of linear mixed models and continue with illustrating specific actuarial applications of this type of models. Technical details on linear mixed models follow: model assumptions, specifications, estimation techniques and methods of inference. We include three worked out examples with the R lme4 package and use ggplot2 for the graphs. Full code is available from the book project's web page.
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