Claims Reserving Using Tweedie's Compound Poisson Model

By Mario V. Wüthrich. ASTIN Bulletin: The Journal of the International Actuarial Association, 2003

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ecceb4812629cc9f43894c8c6c296dc0c95b5c89

How researchers see this paper

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In Economics and Econometrics

1. Gareth William Peters
2. Pavel V. Shevchenko
3. Alois Gisler
4. Mario V. Wüthrich

In Management Science and Operations Research

1. Gareth William Peters
2. Pavel V. Shevchenko
3. Alois Gisler
4. Mario V. Wüthrich
5. Arthur Charpentier

In Statistics and Probability

1. Gareth William Peters
2. Pavel V. Shevchenko
3. Alois Gisler
4. Mario V. Wüthrich

Citations in the corpus

• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models (2009, methodology): “We do this via propagation of error by forming a Taylor expansion around the MLEs, see England and Verrall (2002) formulae (7.6)-(7.8) and Wüthrich (2003) formulae (5.1)-(5.2), stdev ( R̂MLE ) = √ Var ( R̂MLE ) (3.14) V̂ar ( R̂MLE ) = ∑ i1+j1>I ∑ i2+j2>I α̂MLE i1 α̂MLE i2 cov ( β̂MLE j1 , β̂MLE j2…”
• Credibility for the Chain Ladder Reserving Method (2008, background): “For a discussion and a comparison we refer to Chapter 3 in Wüthrich and Merz [21].”