Identically Distributed? Don’t Bet On It! – MuSigma 2020-11
Speakers: Chris Gross, Gross Consulting
The assumption that observations and model errors are identically distributed is so common in statistical inference that it often is simply overlooked. However, this assumption is invalid in many of the questions that we face as actuaries.
When this assumption is invalid, biased estimates can result, particularly when using multiplicative models.
Chris will give examples of this problem, illustrate methods to test the assumption, and discuss approaches to correcting for the assumption when it is invalid.
Presented by Gross Consulting, the MuSigma Webinar Series is an excellent opportunity for actuaries and insurance professionals to engage in free, interactive, and relevant content designed to provide quality continuing education.