volume 11, issue 1, P185-226 2021
DOI: 10.1007/s13385-021-00264-3
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Abstract: AbstractThe most commonly used regression model in general insurance pricing is the compound Poisson model with gamma claim sizes. There are two different parametrizations for this model: the Poisson-gamma parametrization and Tweedie’s compound Poisson parametrization. Insurance industry typically prefers the Poisson-gamma parametrization. We review both parametrizations, provide new results that help to lower computational costs for Tweedie’s compound Poisson parameter estimation within generalized linear mod…

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