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Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family

Alai, Daniel H., Wuethrich, Mario V. (2009) Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family. ASTIN Bulletin, 39 (2). pp. 453-477. ISSN 0515-0361. (doi:10.2143/AST.39.2.2044643) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.2143/AST.39.2.2044643

Abstract

The use of generalized linear models (GLM) to estimate claims reserves has become a standard method in insurance. Most frequently, the exponential dispersion family (EDF) is used; see e.g. England, Verrall [2].We study the so-called Tweedie EDF and test the sensitivity of the claims reserves and their mean square error of predictions (MSEP) over this family. Furthermore, we develop second order Taylor approximations for the claims reserves and the MSEPs for members of the Tweedie family that are difficult to obtain in practice, but are close enough to models for which claims reserves and MSEP estimations are easy to determine. As a result of multiple case studies, we find that claims reserves estimation is relatively insensitive to which distribution is chosen amongst the Tweedie family, in contrast to the MSEP, which varies widely.

Item Type: Article
DOI/Identification number: 10.2143/AST.39.2.2044643
Uncontrolled keywords: Claims Reserving; Exponential Dispersion Family; Model Uncertainty; Power Variance Function; Tweedie's Exponential Dispersion Models; Prediction Error
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science
Depositing User: Daniel Alai
Date Deposited: 05 Feb 2014 14:27 UTC
Last Modified: 06 Feb 2020 04:09 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/38164 (The current URI for this page, for reference purposes)
Alai, Daniel H.: https://orcid.org/0000-0001-7989-784X
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