A special Tweedie sub-family with application to loss reserving prediction error

DOI10.1016/J.INSMATHECO.2021.08.002MaRDI QIDQ2665858zbMATH OpenOpenAlexFDO

Authors Greg Taylor

Publication date 19 November 2021

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.08.002

zbMATH Keywords

CMVRconstant mean-variance ratioloss reservingmodel distribution errormodel errorprediction errorTweedie family

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Taylor approximations for model uncertainty within the Tweedie exponential dispersion family
• Claims Reserving Using Tweedie's Compound Poisson Model
• Model uncertainty in claims reserving within Tweedie's compound Poisson models
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• Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications

Cites work

• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Approximate Bayes factors and accounting for model uncertainty in generalised linear models
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
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• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
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• scientific article; zbMATH DE number 1034043 (Why is no real title available?)
• scientific article; zbMATH DE number 3311446 (Why is no real title available?)
• Maximum likelihood and estimation efficiency of the chain ladder
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Reproducibility and natural exponential families with power variance functions
• Stochastic claims reserving methods in insurance

Cited in

(2)

• Taylor approximations for model uncertainty within the Tweedie exponential dispersion family
• Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle

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