Quijano Xacur, Oscar Alberto / OAQX and Garrido, José Generalised linear models for aggregate claims; to Tweedie or not? Technical Report. UNSPECIFIED. (Submitted)
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Abstract
The compound Poisson distribution with gamma claim
sizes is a very common model for premium
estimation in Property and Casualty
insurance. Under this distributional assumption,
generalised linear models (GLMs) are used to
estimate the mean claim frequency and severity,
then these estimators are simply multiplied to
estimate the mean aggregate loss.
The Tweedie distribution allows to parametrise the
compound Poisson-gamma (CPG) distribution as a
member of the exponential dispersion family and
then fit a GLM with a CPG distribution for the
response. Thus, with the Tweedie distribution it
is possible to estimate the mean aggregate loss
using GLMs directly, without the need to
previously estimate the mean frequency and
severity separately.
The purpose of this educational note is to explore
the differences between these two estimation
methods, contrasting the advantages and
disadvantages of each.
| Divisions: | Concordia University > Faculty of Arts and Science > Mathematics and Statistics |
|---|---|
| Item Type: | Monograph (Technical Report) |
| Authors: | Quijano Xacur, Oscar Alberto / OAQX and Garrido, José |
| ID Code: | 979573 |
| Deposited By: | OSCAR ALBERTO QUIJANO XACUR |
| Deposited On: | 24 Feb 2015 18:06 |
| Last Modified: | 18 Jan 2018 17:49 |
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