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Making Tweedie's compound Poisson model more accessible

Making Tweedie's compound Poisson model more accessible
Recurso electrónico / Electronic resource
MAP20220007214
Delong, Lukasz
Making Tweedie's compound Poisson model more accessible / Lukasz Delong, Mathias Lindholm, Mario V. Wüthrich
Sumario: The most commonly used regression model in general insurance pricing is the compound Poisson model with gamma claim sizes. There are two different parametrizations for this model: the Poisson-gamma parametrization and Tweedie's compound Poisson parametrization. Insurance industry typically prefers the Poisson-gamma parametrization. We review both parametrizations, provide new results that help to lower computational costs for Tweedie's compound Poisson parameter estimation within generalized linear models, and we provide evidence supporting the industry preference for the Poisson-gamma parametrization.

La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)" - https://creativecommons.org/licenses/by/4.0
En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 185-226
1. Modelo Tweedie . 2. Distribución Poisson-Beta . 3. Matemática del seguro . 4. Cálculo actuarial . I. Lindholm, Mathias . II. Wüthrich, Mario V. . III. Title.