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

@article{Peters2009ModelUI,
  title={Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models},
  author={G. W. Peters and Pavel V. Shevchenko and Mario V. Wuthrich},
  journal={Astin Bulletin},
  year={2009},
  volume={39},
  pages={1-33}
}
  • G. W. Peters, Pavel V. Shevchenko, Mario V. Wuthrich
  • Published 2009
  • Economics, Mathematics
  • Astin Bulletin
  • In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated models under different scenarios. The key point we demonstrate relates to the comparison of reserving quantities with and without model uncertainty incorporated into the prediction. We consider both the model selection problem and the model averaging solutions… CONTINUE READING

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