ROBUSTNESS OF TWEEDIE MODEL OF RESERVES WITH RESPECT TO DISTRIBUTION OF SEVERITY OF CLAIMS

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Agata Boratyńska
Dorota Juszczak


Abstrakt
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.

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Jak cytować
Boratyńska, A., & Juszczak, D. (2015). ROBUSTNESS OF TWEEDIE MODEL OF RESERVES WITH RESPECT TO DISTRIBUTION OF SEVERITY OF CLAIMS. Metody Ilościowe W Badaniach Ekonomicznych, 16(1), 53–74. Pobrano z https://qme.sggw.edu.pl/article/view/3752
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