Making Tweedie's compound Poisson model more accessible

DOI10.1007/S13385-021-00264-3MaRDI QIDQ825297zbMATH OpenOpenAlexFDO

Authors Łukasz Delong, M. Lindholm, Mario V. Wüthrich

Publication date 17 December 2021

Published in European Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s13385-021-00264-3

zbMATH Keywords

generalized linear modelregression modelexponential dispersion familyneural networkcompound Poisson modelgamma claim sizesTweedie's distribution

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• scientific article; zbMATH DE number 4070022 (Why is no real title available?)
• scientific article; zbMATH DE number 4082773 (Why is no real title available?)
• A new look at the statistical model identification
• An extended quasi-likelihood function
• Bias regularization in neural network models for general insurance pricing
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Fitting Tweedie's compound poisson model to insurance claims data
• Generalised linear models for aggregate claims: to Tweedie or not?
• Information and exponential families in statistical theory
• Non-life insurance pricing with generalized linear models

Cited in

(10)

• Improving automobile insurance claims frequency prediction with telematics car driving data
• Fitting Tweedie's compound poisson model to insurance claims data
• Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm
• Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link
• Generalised linear models for aggregate claims: to Tweedie or not?
• Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
• Jointly modeling of sleep variables that are objectively measured by wrist actigraphy
• Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio
• Autocalibration and Tweedie-dominance for insurance pricing with machine learning
• Bayesian estimation and influence analysis of Tweedie's compound Poisson model

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