A Cape Cod model for the exponential dispersion family

DOI10.1016/j.insmatheco.2018.11.008zbMath1415.62082OpenAlexW2901992996WikidataQ115571842 ScholiaQ115571842MaRDI QIDQ1735039

Greg Taylor

Publication date: 28 March 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.11.008

zbMATH Keywords

maximum likelihood estimationMLEexponential dispersion familychain ladderODPTweedie familyMVUECape Codloss reserveparameters estimates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (1)

The Bühlmann-Straub estimation of claim means in random B-F reserve model

Cites Work

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• MAXIMUM LIKELIHOOD AND ESTIMATION EFFICIENCY OF THE CHAIN LADDER
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
• Exponential dispersion models and credibility
• BAYESIAN CHAIN LADDER MODELS
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Claims Reserving Using Tweedie's Compound Poisson Model

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