Centro de Documentacion de Fundación MAPFRE - Making Tweedie's compound Poisson model more accessible

Notes: 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.

Related records: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 185-226Materia / lugar / evento: Modelo Tweedie Distribución Poisson-Beta Matemática del seguro Cálculo actuarial Otros autores: Lindholm, Mathias
Wüthrich, Mario V.
Other categories: 6

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