Longitudinal and Panel Data: Applications in Finance and Insurance
Edward W. (Jed) Frees
Longitudinal and panel data arise from repeated measurements taken from a cross-section of subjects. These models and data have found substantive applications in many disciplines within the biological and social sciences. Actuarial applications need to borrow from biological science studies, where they are known as longitudinal data, as well as econometric studies, where they are known as panel data.
The purpose of this short course is, through a series of examples, to emphasize how longitudinal and panel data arise naturally in studies of finance and insurance. This means that many problems in financial risk management can be readily addressed using more or less off the shelf techniques from studies of longitudinal and panel data.
Moreover, the framework of finance and insurance areas of inquiry suggests new problems in the statistical study of longitudinal and panel data. In particular, the short course will discuss some new nonlinear and multilevel longitudinal models that arise in actuarial applications.