tweedie family
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2019 ◽  
Vol 2019 (7) ◽  
pp. 585-603
Author(s):  
Limor Langbord ◽  
Zinoviy Landsman ◽  
Udi E. Makov

2011 ◽  
Vol 22 (2) ◽  
pp. 152-164 ◽  
Author(s):  
Abdel H. El-Shaarawi ◽  
Rong Zhu ◽  
Harry Joe

2009 ◽  
Vol 39 (2) ◽  
pp. 453-477 ◽  
Author(s):  
Daniel H. Alai ◽  
Mario V. Wüthrich

AbstractThe use of generalized linear models (GLM) to estimate claims reserves has become a standard method in insurance. Most frequently, the exponential dispersion family (EDF) is used; see e.g. England, Verrall. We study the so-called Tweedie EDF and test the sensitivity of the claims reserves and their mean square error of predictions (MSEP) over this family. Furthermore, we develop second order Taylor approximations for the claims reserves and the MSEPs for members of the Tweedie family that are difficult to obtain in practice, but are close enough to models for which claims reserves and MSEP estimations are easy to determine. As a result of multiple case studies, we find that claims reserves estimation is relatively insensitive to which distribution is chosen amongst the Tweedie family, in contrast to the MSEP, which varies widely.


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