Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

By Gareth William Peters, Pavel V. Shevchenko, Mario V. Wüthrich. ASTIN Bulletin: The Journal of the International Actuarial Association, 2009

83 citations recorded by the source corpus.

Abstract In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated models under different scenarios. The key point we demonstrate relates to the comparison of reserving quantities with and without model uncertainty incorporated into the prediction. We consider both the model selection problem and the model averaging solutions for the predicted reserves. As a part of this process we also consider the sub problem of variable selection to obtain a parsimonious representation of the model being fitted.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ef176deb0ab73207b21b6e276449e78c853fd4e5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Management Science and Operations Research

1. Peng Shi
2. Sanjib Basu
3. G. Meyers

In Statistics and Probability

1. Peng Shi
2. Sanjib Basu
3. G. Meyers
4. Timothy E. Hanson
5. Siddhartha Chib

Citations in the corpus

• A Bayesian Log-Normal Model for Multivariate Loss Reserving (2012, background): “Some recent work includes de Alba (2002, 2006), Ntzoufras and Dellaportas (2002), Verrall (2004), England and Verrall (2006), de Alba and Nieto-Barajas (2008), Peters et al. (2009), and Meyers (2009).”