Claims Reserving Using Tweedie’s Compound Poisson Model
نویسنده
چکیده
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 reasonable estimates of the outstanding loss liabilities.
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