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Claims Reserving Using Tweedie's Compound Poisson Model

Published online by Cambridge University Press:  17 April 2015

Mario V. Wüthrich
Mario V. Wüthrich*
Affiliation:
Winterthur Insurance, Römerstrasse 17, P.O. Box 357, CH-8401 Winterthur, Switzerland, E-mail: mario.wuethrich@winterthur.ch
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Abstract

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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.

Keywords

Claims ReservingRun-off TrianglesIBNRCompound Poisson ModelExponential FamilyGLMMSEP
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 2 , November 2003 , pp. 331 - 346
Copyright
Copyright © ASTIN Bulletin 2003

References

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