Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
نویسندگان
چکیده
منابع مشابه
Model Uncertainty in Claims Reserving within Tweedie’s Compound Poisson Models
In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated models under different scenarios. The key point we demonstrate relates to the comparison of reserving quantities with and without model uncertainty incorporated ...
متن کاملModel risk in claims reserving within Tweedie’s compound Poisson models
In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare estimated models under different scenarios. The key point we demonstrate relates to comparison of reserving quantities with and without model uncertainty incorporated into the pre...
متن کاملClaims Reserving Using Tweedie’s Compound Poisson Model
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 Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reaso...
متن کاملRecent Development in Claims Reserving
This contribution deals with recent development in the field of mathematical loss reserving via Chain Ladder that is regarded as the most popular method for setting technical reserves in non life insurance. It could be formulated deterministically or via a stochastic model. However there are some drawbacks of using this method automatically that will be discussed. Its generalisation Munich Chai...
متن کاملSemiparametric Regression Models for Claims Reserving and Credibility: the Mixed Model Approach
Verrall (1996) and England & Verrall (2001) considered the use of smoothing methods in the context of claims reserving, by applying two smoothing procedures in a likelihood-based way, namely the locally weighted regression smoother (‘loess’) and the cubic smoothing spline smoother. Using the statistical methodology of semiparametric regression and its connection with mixed models (see e.g. Rupp...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2009
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.39.1.2038054