Verify that the Tweedie distribution is a member of the linear exponential family of distributions by checking
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Verify that the Tweedie distribution is a member of the linear exponential family of distributions by checking equation (13.9). In particular, provide an expression for \(S(y, \phi)\) (note that \(S(y, \phi)\) also depends on \(p\) but not on \(\mu\) ). You may wish to see Clark and Thayer (2004) to check your work. Further, verify the moments in equation (13.12).
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Regression Modeling With Actuarial And Financial Applications
ISBN: 9780521135962
1st Edition
Authors: Edward W. Frees
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