Making Tweedie's compound Poisson model more accessible

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<title>Making Tweedie's compound Poisson model more accessible</title>
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<dateIssued encoding="marc">2021</dateIssued>
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<abstract displayLabel="Summary">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.

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<accessCondition type="use and reproduction">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"</accessCondition>
<note type="statement of responsibility">Lukasz Delong, Mathias Lindholm, Mario V. Wüthrich</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20190011365">
<topic>Modelo Tweedie</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041721">
<topic>Distribución Poisson-Beta</topic>
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<topic>Matemática del seguro</topic>
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<topic>Cálculo actuarial</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>07/06/2021 Número 1 - junio 2021 , p. 185-226</text>
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