Making Tweedie’s compound Poisson model more accessible
Open Access
- 13 February 2021
- journal article
- research article
- Published by Springer Nature in European Actuarial Journal
- Vol. 11 (1) , 185-226
Abstract
The most commonly used regression model in general insurance pricing is the compound Poisson model with gamma claim sizes. There are two different parametrizations for this model: the Poisson-gamma parametrization and Tweedie’s compound Poisson parametrization. Insurance industry typically prefers the Poisson-gamma parametrization. We review both parametrizations, provide new results that help to lower computational costs for Tweedie’s compound Poisson parameter estimation within generalized linear models, and we provide evidence supporting the industry preference for the Poisson-gamma parametrization.Keywords
Funding Information
- ETH Zurich
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