Claims reserving using Tweedie’s compound Poisson model. (English) Zbl 1095.91042

Summary: 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 B. Jørgensen and M. C. P. de Souza, Scand. Actuar. J. 1994, No. 1, 69–93 (1994; Zbl 0802.62089), and G. K. Smyth and B. Jørgensen, Astin Bull. 32, No. 1, 143–157 (2002; Zbl 1094.91514)]. We show that these methods lead to reasonable estimates of the outstanding loss liabilities.


91B30 Risk theory, insurance (MSC2010)
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