NDLI: Claims Reserving Using Tweedie's Compound Poisson Model

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Claims Reserving Using Tweedie's Compound Poisson Model

Content Provider	Scilit
Author	Wüthrich, Mario V.
Copyright Year	2003
Description	We consider the problem of claims reserving and estimating run-off triangles. We generalize the gamma cell distributions model which leads to Tweedie's compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear models (see Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reasonable estimates of the outstanding loss liabilities.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/D5FE0DCAD2A65241F869B18F0718719D/S0515036100013490a.pdf/div-class-title-claims-reserving-using-tweedie-s-compound-poisson-model-div.pdf
Ending Page	346
Page Count	16
Starting Page	331
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/s0515036100013490
Journal	ASTIN Bulletin
Issue Number	2
Volume Number	33
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2003-11-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Operations Research and Management Science Claims Reserving off Triangles Compound Poisson Model Exponential Family
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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