Proc MCMC for hierarchical tweedie model

dschmidt — Fri, 14 Dec 2018 22:23:06 GMT

I'm looking to model some insurance claims, and based on a few quick skims of papers, the tweedie distributions seem like a good candidate - a poisson mixture of gammas. Is anyone aware of methods/studies/resources which do hierarchical modeling of tweedies? If it were another distribution, I would use proc mcmc, but I've read that there's no closed form for the distribution, so I can't use the "General" option to specify the distribution.

What I'm really interested in, though, is examining a sampling distribution. So I could consider a normal hierarchical model based on a fixed group size if there's no alternatives. But ideally I'd like to be able to generalize for different group sizes.

Thanks!

Re: Proc MCMC for hierarchical tweedie model

pink_poodle — Sun, 16 Dec 2018 04:26:01 GMT

There is an example of modeling automobile insurance claims with Proc Hpgenselect here:

https://support.sas.com/rnd/app/stat/examples/hpgenselect/hpgenselect.htm

topic Re: Proc MCMC for hierarchical tweedie model in New SAS User

Proc MCMC for hierarchical tweedie model

Re: Proc MCMC for hierarchical tweedie model