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Document Details : Title: Claims Reserving Using Tweedie's Compound Poisson Model Author(s): WÜTHRICH, Mario V. Journal: ASTIN Bulletin Volume: 33 Issue: 2 Date: November 2003 Pages: 331-346 DOI: 10.2143/AST.33.2.503696 Abstract : 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. |
