Dispersion estimates for poisson and tweedie models

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<title>Dispersion estimates for poisson and tweedie models</title>
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<namePart>Rosenlund, Stig</namePart>
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<abstract displayLabel="Summary">As a consequence of pointing out an ambiguity in Renshaw (1994), we show that the Overdispersed Poisson model cannot be generated by random independent intensities. Hence Pearson's chi-square-based estimate is normally unsuitable for GLM (Generalized Linear Model) log link claim frequency analysis in insurance. We propose a new dispersion parameter estimate in the GLM Tweedie model for risk premium. This is better than the Pearson estimate, if there are sufficiently many claims in each tariff cell. Simulation results are given showing the differences between it and the Pearson estimate.
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<note type="statement of responsibility">Stig Rosenlund</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 271-279</text>
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