Temat: Tweedie model - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: ROBUSTNESS OF TWEEDIE MODEL OF RESERVES WITH RESPECT TO DISTRIBUTION OF SEVERITY OF CLAIMS
Autorzy:: Boratyńska, Agata
Juszczak, Dorota
Powiązania:: https://bibliotekanauki.pl/articles/453337.pdf
Data publikacji:: 2015
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:: loss reserves
Tweedie model
Poisson and gamma distribution
ε-contamination
generalized linear model
mean square error
bias
prediction
Opis:: 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.
Źródło:: Metody Ilościowe w Badaniach Ekonomicznych; 2015, 16, 1; 53-74
2082-792X
Pojawia się w:: Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Jednomodelowa taryfikacja a priori w krótkoterminowych ubezpieczeniach majątkowych
Single-model a priori ratemaking in short term non-life insurance
Autorzy:: Wolny-Dominiak, Alicja
Powiązania:: https://bibliotekanauki.pl/articles/425260.pdf
Data publikacji:: 2014
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: single-model ratemaking
non-life insurance
pure risk premium
Tweedie
compound Poisson
Opis:: The goal of this paper is to propose the regression model usefull in a priori ratemaking in short term non-life insurance. In the model the aggregat claim amount for individual risk following is estimated. It is asumed that this random variable following the compound Poisson distribution being a special case of Tweedie. We notice that the independent assumtion in the portfolio of risks is violated. That is why we adopt the mixed model with fixed and random effects in place of the model with fixed effects only. In the first part of the paper the theoretical model is presented while in the second part practical application is analised. All calculations in the case study are made in R software.
Źródło:: Econometrics. Ekonometria. Advances in Applied Data Analytics; 2014, 4(46); 34-42
1507-3866
Pojawia się w:: Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:: Biblioteka Nauki

Artykuł

Informacja