Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

DOI10.2143/AST.39.1.2038054zbMath1203.91114arXiv0904.1483OpenAlexW2051249278MaRDI QIDQ3067081

Mario V. Wüthrich, Gareth W. Peters, Pavel V. Shevchenko

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1483

Mathematics Subject Classification ID

Related Items (27)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ Loss prediction based on run-off triangles ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ BAYESIAN ANALYSIS OF BIG DATA IN INSURANCE PREDICTIVE MODELING USING DISTRIBUTED COMPUTING ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Bayesian model choice of grouped \(t\)-copula ⋮ Worst-case moments under partial ambiguity ⋮ Credibility in Loss Reserving ⋮ Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development ⋮ Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation ⋮ Chain ladder method: Bayesian bootstrap versus classical bootstrap ⋮ A Cape Cod model for the exponential dispersion family ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ A COPULA REGRESSION FOR MODELING MULTIVARIATE LOSS TRIANGLES AND QUANTIFYING RESERVING VARIABILITY ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving ⋮ Model Selection and Averaging in Financial Risk Management ⋮ COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE ⋮ Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping ⋮ MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS ⋮ Likelihood-based and Bayesian methods for Tweedie compound Poisson linear mixed models ⋮ Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method ⋮ Implementing loss distribution approach for operational risk ⋮ Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving ⋮ Dispersion modelling of mortality for both sexes with Tweedie distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• On adaptive Markov chain Monte Carlo algorithms
• Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
• AMCMC: an R interface for adaptive MCMC
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling

This page was built for publication: Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models