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

ASTIN Bulletin 39(1), pp.1-33, 2009

Posted: 23 Nov 2014

See all articles by Gareth Peters

Gareth Peters

University of California Santa Barbara; University of California, Santa Barbara

Pavel V. Shevchenko

Macquarie University - Department of Actuarial Studies and Business Analytics

Mario V. Wuthrich

RiskLab, ETH Zurich

Date Written: October 13, 2008

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.

Keywords: Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo

JEL Classification: C00, G00

Suggested Citation

Peters, Gareth and Shevchenko, Pavel V. and Wuthrich, Mario V., Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models (October 13, 2008). ASTIN Bulletin 39(1), pp.1-33, 2009, Available at SSRN: https://ssrn.com/abstract=2529598

Gareth Peters

University of California Santa Barbara ( email )

Santa Barbara, CA 93106
United States

University of California, Santa Barbara ( email )

Pavel V. Shevchenko (Contact Author)

Macquarie University - Department of Actuarial Studies and Business Analytics ( email )

Australia

HOME PAGE: http://www.mq.edu.au/research/centre-for-risk-analytics/pavel-shevchenko

Mario V. Wuthrich

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

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