Aug 11, 2016
Anders Larson, FSA, MAAA, interviews Shea Parkes, FSA, MAAA, and Michael Niemerg, FSA, MAAA, about penalized regression. Penalized regression can be thought of as the result of applying actuarial credibility to linear modeling. They explain the statistical theory behind it and the practical reasons an actuary might apply it. They also touch on some useful implementations that are freely available as open source libraries for R and Python.