Making Tweedie's compound Poisson model more accessible

DOI10.1007/s13385-021-00264-3zbMath1485.91208OpenAlexW3130105864MaRDI QIDQ825297

Mario V. Wüthrich, Łukasz Delong, Mathias Lindholm

Publication date: 17 December 2021

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

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

zbMATH Keywords

neural networkexponential dispersion familycompound Poisson modelgeneralized linear modelregression modelgamma claim sizesTweedie's distribution

Mathematics Subject Classification ID

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

Related Items (6)

Autocalibration and Tweedie-dominance for insurance pricing with machine learning ⋮ Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells ⋮ 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 ⋮ Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio ⋮ IMPROVING AUTOMOBILE INSURANCE CLAIMS FREQUENCY PREDICTION WITH TELEMATICS CAR DRIVING DATA

Cites Work

• Bias regularization in neural network models for general insurance pricing
• Generalised linear models for aggregate claims: to Tweedie or not?
• Information and Exponential Families
• Non-Life Insurance Pricing with Generalized Linear Models
• An extended quasi-likelihood function
• Fitting Tweedie's compound poisson model to insurance claims data
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• A new look at the statistical model identification
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