Wisconsin School of Business

Edward (Jed) Frees

Professor - Risk and Insurance
Hickman/Larson Chair of Actuarial Science, John and Anne Oros Distinguished Chair for Inspired Learning in Business

Edward W. (Jed) Frees is a professor in the Risk and Insurance Department of the Wisconsin School of Business. He is the Hickman Larson Chair of Actuarial Science. His research interests are in actuarial science, regression and business forecasting, and panel data.

Frees is a Fellow of both the Society of Actuaries and the American Statistical Association. Frees is the only individual to be a Fellow of both organizations.

Prior to earning his Ph.D., he was employed by M& R Services (a Seattle actuarial and software consulting firm), John Eriksen's & Partners (a New Zealand actuarial consulting firm), and the United Kingdom's Government Actuaries Department. In addition, in 1989-1990 he was a visiting principal researcher at the U. S. Bureau of the Census. His home has been UW-Madison since 1983, where he teaches courses in statistics and actuarial science.

Frees received his Ph.D. in mathematical statistics from the University of North Carolina at Chapel Hill.
 

Selected Accepted Journal Articles


Frees, E. (2017). Insurance Portfolio Risk Retention. North American Actuarial Journal
Frees, E. & Shi, P. (2016). Credibility prediction using collateral information. Variance
Frees, E. & Lee, G. (2015). Rating endorsements using generalized linear models. Variance

Selected Published Journal Articles


Frees, E. & Meyers, G. & Derrig, R. (2016). Introduction to predictive modeling in actuarial science, Volume II.
Frees, E. (2015). Analytics of Insurance Markets. Annual Review of Financial Economics (7), 253-277.
Frees, E. & Meyers, G. & Cummings, A. (2014). Insurance ratemaking and a Gini index. Journal of Risk and Insurance (81), 33-366.
Frees, E. & Meyers, G. & Derrig, R. (2014). Introduction to predictive modeling in actuarial science, Volume I.
Frees, E. & Jin, X. & Lin, X. (2013). Actuarial applications of multivariate two-part regression models. Annals of Actuarial Science (7), 258-287.
Frees, E. & Meyers, G. & Cummings, A. (2012). Predictive Modeling of Multi-Peril Homeowners Insurance. Variance: Journal of the Casualty Actuarial Society (6), 11-31.
Johnson, Jr., P. & Rosenberg, M. & Frees, E. (2012). Analyses of Racial Disparities in U.S. Inpatient Mental Health Treatment. Internet Journal of Mental Health (8), doi: 10.5580/2b50.
Shi, P. & Frees, E. (2011). Dependent loss reserving using copulas. ASTIN Bulletin: Journal of the International Actuarial Association (41), 449-486. doi: 10.2143/AST.41.2.2136985.
Frees, E. & Gao, J. & Rosenberg, M. (2011). Predicting the frequency and amount of health care expenditures. North American Actuarial Journal (15), 377-392. doi: 10.1080/10920277.2011.10597626.
Frees, E. & Meyers, G. & Cummings, A. (2011). Summarizing insurance scores using a Gini index. Journal of the American Statistical Association (106), 1085-1098. doi: 10.1198/jasa.2011.tm10506.
Yang, X. & Frees, E. & Zhang, Z. (2011). A Generalized Beta Copula with Applications in Modeling Multivariate Long-tailed Data. Insurance: Mathematics and Economics (49), 265-284. doi: 10.1016/j.insmatheco.2011.04.007.
Frees, E. & Meyers, G. & Cummings, A. (2011). Dependent multi-peril ratemaking models. ASTIN Bulletin: Journal of the International Actuarial Association (40), 699-726. doi: 10.2143/AST.40.2.2061134.
Frees, E. & Sun, Y. (2010). Household Life Insurance Demand - a Multivariate Two-Part Model. North American Actuarial Journal (14), 338-354. doi: 10.1080/10920277.2010.10597595.
Antonio, K. & Frees, E. & Valdez, E. (2010). A Multilevel Analysis of Intercompany Claim Counts. ASTIN Bulletin: Journal of the International Actuarial Association (40), 151-177. doi: 10.2143/AST.40.1.2049223.
Shi, P. & Frees, E. (2010). Long-tail Longitudinal Modeling of Insurance Company Expenses. Insurance: Mathematics and Economics (47), 303-314. doi: 10.1016/j.insmatheco.2010.07.005.
Frees, E. & Shi, P. & Valdez, E. (2009). Actuarial Applications of a Hierarchical Insurance Claims Model. ASTIN Bulletin: Journal of the International Actuarial Association (39), 165-197. doi: 10.2143/AST.39.1.2038061.
Frees, E. & Valdez, E. (2008). Hierarchical Insurance Claims Modeling. Journal of the American Statistical Association (103), 1457-1469. doi: 10.1198/016214508000000823.
Frees, E. & Kim, J. (2008). Handbook of Probability Theory With Applications.
Sun, J. & Frees, E. & Rosenberg, M. (2008). Heavy-Tailed Longitudinal Data Modeling Using Copulas. Insurance: Mathematics and Economics (42), 817-830. doi: 10.1016/j.insmatheco.2007.09.009.
Frees, E. & Kim, J. (2007). Multilevel Modeling with Correlated Effects. Psychometrika (72), 505-533. doi: 10.1007/s11336-007-9008-1.
Kim, J. & Frees, E. (2007). Omitted variables in multilevel models. Psychometrika (71), 659-690. doi: 10.1007/s11336-005-1283-0.
Rosenberg, M. & Frees, E. & Sun, J. & Johnson, P. & Robinson, J. (2007). Predictive Modeling with Longitudinal Data: A Case Study of Wisconsin Nursing Homes. North American Actuarial Journal (11), 54-69. doi: 10.1080/10920277.2007.10597466.
Frees, E. (2006). Forecasting of labor force participation rates. The Journal of Official Statistics (22), 453-485.
Frees, E. & Kim, J. (2006). Multilevel model prediction. Psychometrika (71), 79-104. doi: 10.1007/s11336-003-1108-y.
Frees, E. & Wang, P. (2006). Copula credibility for aggregate loss models. Insurance: Mathematics and Economics (38), 360-373. doi: 10.1016/j.insmatheco.2005.10.004.
Frees, E. (2005). Pension plan termination and retirement. North American Actuarial Journal (9), 1-20. doi: 10.1080/10920277.2005.10596222.
Frees, E. & Wang, P. (2005). Credibility using copulas. North American Actuarial Journal (9), 31-48. doi: 10.1080/10920277.2005.10596196.
Frees, E. & Jin, C. (2004). Empirical standard errors for longitudinal data mixed linear models. Computational Statistics (19), 455-475.
Frees, E. & Miller, T. (2004). Sales forecasting using longitudinal data models. International Journal of Forecasting (20), 97-111. doi: 10.1016/S0169-2070(03)00005-0.
Frees, E. (2004). Regression models for data analysis. an entry for "Encyclopedia of Actuarial Science," Wiley, UK, 12 pages.
Luo, Y. & Young, V. & Frees, E. (2004). Credibility ratemaking using collateral information. Scandinavian Actuarial Journal (2004), 448-461. doi: 10.1080/03461230310017513.
Frees, E. (2004). Longitudinal and Panel Data: Analysis and Applications for the Social Sciences. Cambridge University Press,, 484 pages.
Frees, E. (2003). Pension Plan Termination and Retirement Study. Available at the web site research.bus.wisc.edu/jfrees/., 90 pages.
Frees, E. (2003). Stochastic forecasting of labor force participation rates. Insurance: Mathematics and Economics (33), 317-336. doi: 10.1016/S0167-6687(03)00156-2.
Frees, E. & Young, V. & Luo, Y. (2001). Case studies using panel data models. North American Actuarial Journal (4), 24-42. doi: 10.1080/10920277.2001.10596010.
Browne, M. & Jaewook, C. & Frees, E. (2000). International Property-Liability Insurance Consumption. Journal of Risk and Insurance (67), 18.
Frees, E. (1999). The 1999 Technical Panel on Assumptions and Methods (I am one of 12 authors on this report). Social Security Advisory Board, Washington, D.C (available at the web site: www.ssab.gov/reports.htm)
Frees, E. (1999). Summary of the Social Security Administration Projections of the OASDI System. Social Security Advisory Board, Washington, D.C.available at the web site: www.ssab.gov/reports.html
Frees, E. & Young, V. & Luo, Y. (1999). A longitudinal data analysis interpretation of credibility models. Insurance: Mathematics and Economics (24), 229-248. doi: 10.1016/S0167-6687(98)00055-9.
Frischmann, P. & Frees, E. (1999). Demand for services: Determinants of tax preparation fees. Journal of the American Taxation Association (21), 1-23.
Frees, E. & Valdez, E. (1998). Understanding relationships using copulas. North American Actuarial Journal (2), 1-25. doi: 10.1080/10920277.1998.10595667.
Frees, E. & Miller, R. (1998). Designing effective graphs. North American Actuarial Journal (2), 34-52. doi: 10.1080/10920277.1998.10595699.
Frees, E. (1998). Relative importance of risk sources in insurance systems. North American Actuarial Journal (2), 53-76. doi: 10.1080/10920277.1998.10595694.
Banerjee, M. & Frees, E. (1997). Influence diagnostics for longitudinal models. Journal of the American Statistical Association (92), 999-1005. doi: 10.1080/01621459.1997.10474055.
Frees, E. & Kung, Y. & Rosenberg, M. & Young , V. & Lai, S. (1997). Forecasting Social Security actuarial assumptions. North American Actuarial Journal (1), 49-82. doi: 10.1080/10920277.1997.10595646.
Frees, E. (1996). Data Analysis Using Regression Models:The Business Perspective. Prentice-Hall, Englewood Cliffs, NJ,, 750 pages.
Frees, E. & Carriere , J. & Valdez, E. (1996). Annuity valuation with dependent mortality. Journal of Risk and Insurance (63), 229-261.
Frees, E. (1995). Warranties as a contingent claim. Product Warranty Handbook, 789-802.
Frees, E. (1995). Semiparametric estimation of warranty costs. Journal of Nonparametric Statistics (5), 103-122. doi: 10.1080/10485259508832638.
Frees, E. (1995). Assessing cross-sectional correlations in panel data. Journal of Econometrics (69), 393-414. doi: 10.1016/0304-4076(94)01658-M.
Lai, S. & Frees, E. (1995). Examining changes in reserves using stochastic interest models. Journal of Risk and Insurance (62), 535-574.
Shieh, S. & Johnson, R. & Frees, E. (1994). Testing independence of bivariate circular data and weighted degenerate U-statistic. Statistica Sinica (4), 729-747.
Frees, E. (1993). Short-term forecasting of internal migration. Environment and Planning, Series A (25), 1593-1606.
Frees, E. (1992). Forecasting state-to-state migration rates. Journal of Business and Economic Statistics (10), 153-167. doi: 10.1080/07350015.1992.10509895.
Frees, E. (1991). Linear regression and U-statistics. Sankhya, Series A (53), 84-96.
Frees, E. (1991). Trimmed slope estimates for simple linear regression. Journal of Statistical Planning and Inference (27), 203-221. doi: 10.1016/0378-3758(91)90016-8.
Frees, E. & Velu, R. (1990). Insurance pricing using time series regression. Journal of Insurance Issues and Practices (13), 39-55.
Frees, E. (1990). Stochastic life contingencies with solvency considerations (with discussion). Transactions of the Society of Actuaries (42), 91-148.
Frees, E. & Ruppert, D. (1990). Estimation following a Robbins-Monro designed experiment. Journal of the American Statistical Association (85), 1123-1129. doi: 10.1080/01621459.1990.10474984.
Frees, E. (1989). Infinite order U-statistics. Scandinavian Actuarial Journal (16), 29 45.
Frees, E. (1988). Net premiums in stochastic life contingencies. Transactions of the Society of Actuaries (40), 371-385 (with discussion).
Cho, D. & Frees, E. (1988). Estimating the volatility of discrete stock prices. Journal of Finance (43), 451-466. doi: 10.1111/j.1540-6261.1988.tb03949.x.
Frees, E. & Nam, S. (1988). Approximating expected warranty costs. Management Science (34), 1441-1449. doi: 10.1287/mnsc.34.12.1441.
Frees, E. (1988). On estimating the cost of a warranty. Journal of Business and Economic Statistics (6), 79-86. doi: 10.1080/07350015.1988.10509639.
Clayton, M. & Frees, E. (1987). Nonparametric estimation of the probability of discovering a new species. Journal of the American Statistical Association (82), 305-311. doi: 10.1080/01621459.1987.10478434.
Frees, E. (1986). Optimizing costs of age replacement policies. Journal of Stochastic Processes and their Applications (21), 195-212. doi: 10.1016/0304-4149(86)90096-7.
Frees, E. (1986). Warranty analysis and renewal function estimation. Naval Research Logistics (33), 361-372. doi: 10.1002/nav.3800330302.
Frees, E. (1985). Weak convergence of stochastic approximation processes with random indices. Sequential Analysis (4), 59-82. doi: 10.1080/07474948508836072.
Frees, E. & Ruppert, D. (1985). Sequential nonparametric age replacement policies. Annals of Statistics (13), 650-662. doi: 10.1214/aos/1176349545.

Presentations


DatAnalítica, the Pontificia Universidad Católica Madre y Maestra ( 2017 ) Analytics of Insurance Markets

Travelers ( 2016 ) Modeling Loss Data: Endorsements and Portfolio Management

University of Connecticut ( 2016 ) Copulas: A Tool for Modeling Dependent Insurance Risks

AIG ( 2016 ) Modeling Claims Data: Copulas and other Predictive Analytic Tools

Statistica Sinica/National Taiwan University ( 2016 ) Insurance Portfolio Risk Retention

National Central University ( 2016 ) Insurance Portfolio Risk Retention

National Chengchi University ( 2016 ) Insurance Portfolio Risk Retention

Zurich Insurance Group ( 2016 ) Analytics of Insurance Markets

Zurich Insurance Group ( 2016 ) Analytics of Insurance Markets

University of Barcelona ( 2016 ) Insurance Portfolio Risk Retention

CAS Annual Meeting ( 2015 ) Insurance Ratemaking and a Gini Index

Recent Advances in Actuarial Mathematic ( 2015 ) Insurance Portfolio Risk Retention

University of Amsterdam ( 2015 ) Insurance Portfolio Risk Retention

University of Wisconsin ( 2015 ) Insurance Portfolio Risk Retention

KU Leuven ( 2015 ) Insurance Portfolio Risk Retention

Actuarial Research Conference ( 2015 ) Predictive Modeling in Insurance

Finance, Insurance, Probability and Statistics (FIPS2015) Workshop of the Institute of Mathematical Statistics ( 2015 ) Analytics of Insurance Markets

Ratemaking and Product Management Seminar ( 2015 ) Rating Endorsements using Generalized Linear Models

CRM–CANSSI Workshop on New Horizons in Copula Modeling ( 2014 ) Analytics of Insurance Markets

International Congress on Actuarial Science and Quantitative Finance ( 2014 ) Predictive Modeling Applications in Actuarial Science

30th International Congress of Actuaries ( 2014 ) Predictive Modeling Applications in Actuarial Science

( 2014 ) Insurance Company Operations and Dependence Modeling

Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications ( 2014 ) Insurance Company Operations and Dependence Modeling

Astin Colloquium ( 2013 ) Predictive Modeling of Insurance Company Operations

( 2013 ) Actuarial Education and Technology Enhanced Learning

Actuarial Research Conference ( 2012 ) Predictive Modeling in Insurance

Astin Colloquium ( 2012 ) Predictive Modeling in Insurance

Department Symposium ( 2012 ) Risk based scores and the Gini index

Actuarial Research Conference ( 2011 ) Technology Enhanced Learning for Actuarial Education

ISI Annual Meeting ( 2011 ) Predicting Multivariate Two-Part Health Outcomes

Casualty Actuarial Society Annual Meeting ( 2010 ) Actuarial Applications of a Hierarchical Insurance Claims Model

2010 Valuation Actuary Symposium ( 2010 ) Avoiding Statistical Pitfalls in Actuarial Work

Actuarial Research Conference ( 2010 ) Technology Enhanced Learning for Actuarial Education

Insurance: Mathematics and Economics ( 2010 ) Individual Risk Predictive Modeling

Casualty Actuarial Society Spring Meeting ( 2010 ) Summarizing Insurance Scores Using a Gini Index

Annual Research Conference ( 2009 ) Dependent multi-peril ratemaking models

Department Seminar ( 2008 ) Predictive modeling in insurance

Department Seminar ( 2008 ) A multilevel analysis of intercompany claim counts

Department Seminar ( 2008 ) A multilevel analysis of intercompany claim counts

Annual Research Confernce ( 2008 ) A multilevel analysis of intercompany claim counts

Insurance: Mathematics and Economics ( 2008 ) Actuarial Applications of a Hierarchical Insurance Claims Model

Workshop on Recent Advances in Financial and Insurance Risk Management ( 2008 ) Actuarial Analysis of a Hierarchical Insurance Claims Model

Risk Theory Society Conference ( 2008 ) Actuarial Applications of a Hierarchical Insurance Claims Model

Department Seminar ( 2008 ) Hierarchical Insurance Claims Modeling

Department Seminar ( 2007 ) Actuarial Analysis of a Hierarchical Insurance Claims Model

Predictive Modeling Seminar ( 2007 ) Advanced Predictive Modeling Workshop

Department Seminar ( 2007 ) Hierarchical Insurance Claims Modeling

Department Seminar ( 2006 ) Heavy-Tailed Longitudinal Data Modeling Using Copulas

Annual Research Conference ( 2006 ) Heavy-Tailed Longitudinal Data Modeling Using Copulas

Insurance: Mathematics and Economics Conference ( 2006 ) Heavy-Tailed Longitudinal Data Modeling Using Copulas

Department Seminar ( 2006 ) Longitudinal Modeling of Singapore Motor Insurance

Annual Research Conference ( 2005 ) Longitudinal modeling of Singapore motor insurance

Insurance: Mathematics and Economics Conference ( 2005 ) Copula credibility for aggregate loss models

Second Brazilian Conference on Statistical Modeling in Insurance and Finance ( 2005 ) Copula credibility for aggregate loss models

University of Iowa ( 2005 ) Long tail longitudinal and panel data

Annual research Conference ( 2004 ) Credibility of copulas


Undergraduate Courses


Regressn&Time Series-Actuaries
Course DescriptionLinear regression and correlation; generalized linear regression models; introduction to time series; time series model building and forecasting with focus on data of interest to actuaries.
(ACT 654 Section 1), Spring 2010.

Regression & Time Series-Actuaries
Course DescriptionLinear regression and correlation; generalized linear regression models; introduction to time series; time series model building and forecasting with focus on data of interest to actuaries.
(ACT 654 Section 1), Fall 2010.

Risk Theory
Course DescriptionThe individual and collective risk models for insurance systems. Methods of approximating the distribution of total claims. Application of risk theory to the operation of insurance systems.
(ACT 654 Section 1), Spring 2007.

Regressn&Time Series-Actuaries
Course DescriptionLinear regression and correlation; generalized linear regression models; introduction to time series; time series model building and forecasting with focus on data of interest to actuaries.
(ACT 654 Section 1), Spring 2008.

Actuarial Studies of Mortality
Course DescriptionConstruction of mortality tables from the records of insured lives, employee benefit plans, and population statistics; graduation of mortality and related tables; actuarial aspects of demography.
(ACT 653 Section 1), Spring 2007.

Loss Models I
Course DescriptionDefinition and selection of probability distributions appropriate for insurance data that are heavily tailed and skewed.
(ACT 652 Section 1), Fall 2009.

Loss Distributions and Credibility Theory
Course DescriptionSelection and fitting of probability distributions appropriate for insurance data that are heavy tailed and skewed; assessment of the credibility of data for ratemaking.
(ACT 652), Fall 2006.

Loss Models I
Course DescriptionDefinition and selection of probability distributions appropriate for insurance data that are heavily tailed and skewed.
(ACT 652 Section 1), Fall 2010.

Loss Distributions and Credibility Theory
Course DescriptionSelection and fitting of probability distributions appropriate for insurance data that are heavy tailed and skewed; assessment of the credibility of data for ratemaking.
(ACT 652 Section 1), Fall 2007.

Actuarial Mathematics
Course DescriptionContinuation of Act Sci 650. Joint life probabilities, annuities and insurances; multiple-decrement theory; pension fund mathematics.
(ACT 651), Spring 2003.

Actuarial Mathematics
Course DescriptionContinuation of Act Sci 650. Joint life probabilities, annuities and insurances; multiple-decrement theory; pension fund mathematics.
(ACT 651), Spring 2004.

Actuarial Mathematics 2
Course DescriptionContinuation of Act Sci 650. Joint life probabilities, annuities and insurances; multiple-decrement theory; pension fund mathematics.
(ACT 651), Spring 2005.

Actuarial Mathematics 2
Course DescriptionContinuation of Act Sci 650. Joint life probabilities, annuities and insurances; multiple-decrement theory; pension fund mathematics.
(ACT 651), Spring 2006.

Actuarial Mathematics
Course DescriptionAdvanced problems in the mathematical theory of life contingencies; force of mortality, laws of mortality; premiums and reserves for insurance and annuities based on a single life.
(ACT 650), Fall 2002.

Actuarial Mathematics
Course DescriptionAdvanced problems in the mathematical theory of life contingencies; force of mortality, laws of mortality; premiums and reserves for insurance and annuities based on a single life.
(ACT 650), Fall 2003.

Actuarial Mathematics
Course DescriptionAdvanced problems in the mathematical theory of life contingencies; force of mortality, laws of mortality; premiums and reserves for insurance and annuities based on a single life.
(ACT 650), Fall 2004.

(ACT 650), Fall 2005.

Actuarial Mathematics 1
Course DescriptionAdvanced problems in the mathematical theory of life contingencies; force of mortality, laws of mortality; premiums and reserves for insurance and annuities based on a single life.
(ACT 650), Fall 2005.

Interest Theory
Course DescriptionApplication of calculus to compound interest and insurance functions; interest compounded discretely and continuously; force of interest function; annuities payable discretely and continuously; bonds and yield rates; life tables, life annuities, single and annual premiums for insurance and annuities; reserves.
(ACT 303), Spring 2004.



Graduate Courses


Panel Data Analysis
Course DescriptionLinear fixed and random effects models; estimation and prediction; data exploration, diagnostics and model selection techniques; generalized linear panel data models.
(BUS 806), Spring 2003.

Panel Data Analysis
Course DescriptionLinear fixed and random effects models; estimation and prediction; data exploration, diagnostics and model selection techniques; generalized linear panel data models.
(BUS 806), Fall 2004.

Advanced Statistical Methods II
Course DescriptionAdvanced topics in regression; nonparametric methods; time-series analysis, autocorrelation, auto-regressive and moving average models, identification, fitting, and forecasting.
(BUS 806), Spring 2001.

Panel Data Analysis
Course DescriptionLinear fixed and random effects models; estimation and prediction; data exploration, diagnostics and model selection techniques; generalized linear panel data models.
(BUS 806 Section 1), Fall 2009.

Panel Data Analysis
Course DescriptionLinear fixed and random effects models; estimation and prediction; data exploration, diagnostics and model selection techniques; generalized linear panel data models.
(BUS 806), Fall 2006.



Learning/Teaching Oriented Publications


Frees, E. (2014). Chapter on "Frequency and severity models". Predictive Modeling Applications in Actuarial Science
Frees, E. (2014). Chapter on "Longitudinal and panel data". Predictive Modeling Applications in Actuarial Science
Frees, E. & Meyers, G. & Derrig, R. (2014). Chapter on "Introduction to predictive modeling in actuarial science,”. Predictive Modeling Applications in Actuarial Science
Hickman, J. & Frees, E. (2008). New Palgrave Dictionary of Economics.
Frees, E. (2008). Encyclopedia of Quantitative Risk Assessment.
Frees, E. (2007). James C. Hickman an Actuary who made a difference. North American Actuarial Journal (11), 1-11. doi: 10.1080/10920277.2007.10597429.
Frees, E. (2004). Longitudinal and Panel Data: Analysis and Applications for the Social Sciences.
Frees, E. (2004). Regression Models for Data Analysis.
Frees, E. Dependent Insurance Risks in Encyclopedia of Quantitative Risk Analysis and Assessment.
Frees, E. Regression Modeling with Actuarial and Financial Applications.

Editorial and Reviewing Activities


Annals of Actuarial Science - Since January 2011
Associate Editor

Insurance: Mathematics and Economics - Since January 1997
Associate Editor


Photograph of Edward Frees

Edward (Jed) Frees

 
Professor | Risk and Insurance
Hickman/Larson Chair of Actuarial Science, John and Anne Oros Distinguished Chair for Inspired Learning in Business
(608) 262-0429
5191E Grainger Hall