The Econometrics of Individual Risk: Credit, Insurance, and Marketing by Christian Gourieroux, Joann Jasiak.
The text covers a wide range of econometric methods. At one end of the spectrum, the reader will find very simple statistical methods, such as linear regression and the ordinary least squares estimator; at the other end are some state-of-the-art techniques, such as the latent variable polytomous probit model for serially correlated panel data and the simulated method of moments estimator. While we have strived to keep the technical part of the text as comprehensible as possible, we are obviously unable to explain all concepts from scratch, given the limited space. Therefore, we expect the reader to be familiar with the basics of mathematical statistics, and to have some background in econometrics. We encourage readers who do not satisfy these prerequisites to keep a textbook in introductory econometrics or intermediate mathematical statistics to hand. More proficient readers should consult the original publications listed among the references at the end of each chapter.
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