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Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development

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  • Denuit, Michel
  • Trufin, Julien

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  • Denuit, Michel & Trufin, Julien, 2016. "Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development," LIDAM Discussion Papers ISBA 2016030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2016030
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    References listed on IDEAS

    as
    1. Wüthrich, Mario V., 2003. "Claims Reserving Using Tweedie's Compound Poisson Model," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 331-346, November.
    2. Peters, Gareth W. & Shevchenko, Pavel V. & Wüthrich, Mario V., 2009. "Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 1-33, May.
    3. Rob Kaas & Marc Goovaerts & Jan Dhaene & Michel Denuit, 2008. "Modern Actuarial Risk Theory," Springer Books, Springer, edition 2, number 978-3-540-70998-5, November.
    4. Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Model uncertainty in claims reserving within Tweedie's compound Poisson models," Papers 0904.1483, arXiv.org.
    5. Alai, Daniel H. & Wüthrich, Mario V., 2009. "Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 453-477, November.
    6. Paul Embrechts & Marco Frei, 2009. "Panjer recursion versus FFT for compound distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 497-508, July.
    7. Schiegl, M., 2002. "On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 107-128, May.
    8. Rosenlund, Stig, 2010. "Dispersion Estimates for Poisson and Tweedie Models," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 271-279, May.
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    Cited by:

    1. Denuit, Michel & Trufin, Julien, 2016. "Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance," LIDAM Discussion Papers ISBA 2016029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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