Claims Reserving Using Tweedie's Compound Poisson Model

Mario V. Wüthrich

ASTIN Bulletin, 2003, vol. 33, issue 2, 331-346

Abstract: We consider the problem of claims reserving and estimating run-off triangles. We generalize the gamma cell distributions model which leads to Tweedie's compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear models (see Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reasonable estimates of the outstanding loss liabilities.

Date: 2003
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