ROBUSTNESS OF TWEEDIE MODEL OF RESERVES WITH RESPECT TO DISTRIBUTION OF SEVERITY OF CLAIMS
ROBUSTNESS OF TWEEDIE MODEL OF RESERVES WITH RESPECT TO DISTRIBUTION OF SEVERITY OF CLAIMS
Author(s): Agata Boratyńska, Dorota JuszczakSubject(s): Business Economy / Management
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: loss reserves; Tweedie model; Poisson and gamma distribution; ε-contamination; generalized linear model; mean square error; bias;prediction
Summary/Abstract: The aim of the work is to discuss the robustness of estimation procedures and robustness of prediction in Tweedie's compound Poisson model. This model is applied to the claim reserving problem. The quality of parameter estimators and predictors is studied when the distribution of severity of claims is disturbed. The ε-contamination class of distributions is considered. The example, where errors of estimators are large is presented. The simulation methods, using the R programming environment, are applied.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVI/2015
- Issue No: 1
- Page Range: 53-74
- Page Count: 22
- Language: English