Contents
What is Tweedie glm?
The Tweedie package allows you to fit a glm with any power function and any power link. In the glm family call, var. power is the α parameter so that var.
What is the relation between the Tweedie distribution and the Poisson gamma distribution?
In probability and statistics, the Tweedie distributions are a family of probability distributions which include the purely continuous normal, gamma and Inverse Gaussian distributions, the purely discrete scaled Poisson distribution, and the class of compound Poisson–gamma distributions which have positive mass at zero …
How are Tweedie densities used in statis ticians?
Chapter 2 summarizes some papers by Peter Dunn and Gordon Smyth where they use numerical approxima- tion techniques to evaluate Tweedie densities because, in general, Tweedie random variables don’t have a closed form density. Their work enables contemporary statis- ticians to use Tweedie distributions in R.
How is the Tweedie index parameter used in Actuaries?
Notably, a Tweedie random variable has an indexing/power param- eter that is key in describing its distribution. Actuaries typically set this parameter to a default value, whereas R’s tweedie package provides tools to estimate the Tweedie power via maximum likelihood estimation.
Why is Tweedie index parameter used in GLMs?
Tweedie \\frst discussed these distributions in his 1947 paper \\Functions of a Statistical Variate with Given Means, with Special Reference to Laplacian Distributions.” I focus on the Tweedie family because it includes many famous distributions that are used as response distributions in generalized linear models (GLMs).
How to improve Tweedie severity and loss cost models?
Besides providing educational value to the reader, this thesis proposes methods to improve Tweedie severity and loss cost models. Actuaries often exercise judgment in selecting the power parameter. This judgment could mean choosing the power parameter to be 1.5 for pure premium models and 2 or 3 for severity models.