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ROBUSTNESS OF TWEEDIE MODEL OF RESERVES WITH RESPECT TO DISTRIBUTION OF SEVERITY OF CLAIMS

The aim of the work is to discuss the robustness of estimation procedures and robustness of prediction in Tweedie's compound Poisson model. This model is applied to the claim reserving problem. The quality of parameter estimators and predictors is studied when the distribution of severity of cl...

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Principais autores: Agata Boratyńska, Dorota Juszczak
Formato: Artigo
Idioma:Inglês
Publicado em: Wydawnictwo SGGW - Warsaw University of Life Sciences Press 2015-03-01
coleção:Quantitative Methods in Economics
Assuntos:
loss reserves; Tweedie model; Poisson and gamma distribution; ε-contamination; generalized linear model; mean square error; bias; prediction
Acesso em linha:https://qme.sggw.edu.pl/article/view/3752
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