标题： 索赔准备金中的模型不确定性在Tweedie复合泊松模型中 显示英文标题

标题： Model uncertainty in claims reserving within Tweedie's compound Poisson models

摘要： 在本文中，我们使用Tweedie的复合泊松模型来研究准备金估算问题。 我们开发了最大似然和贝叶斯马尔可夫链蒙特卡罗模拟方法来拟合该模型，然后在不同情景下比较估计的模型。 我们所展示的关键点是将考虑模型不确定性的预测与不考虑模型不确定性的预测进行比较。 我们考虑了模型选择问题以及预测准备金的模型平均解决方案。 作为这一过程的一部分，我们还考虑了变量选择的子问题，以获得被拟合模型的简洁表示。 显示英文摘要

摘要： 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.