Feature request: Tweedie distribution

[ys-xue]

The compound Poisson Gamma Tweedie distribution is used a lot in modeling claim severities. Would it be supported in the future?

[LexusH]

Hey @ys-xue, I'd love to help put this new feature in! I'm a beginner, so any guidance would be appreciated, but I'll start looking into it immediately

[Padarn]

This one doesn't look super simple. There is no closed form for the density function (as far as I know), so I'm not sure how easy this would be to do.

Could implement it as a quasi-likelihood, as is done in statsmodels: https://www.statsmodels.org/stable/_modules/statsmodels/genmod/families/family.html#Tweedie

[svshivapuja]

Can I work on this issue ? @srvasude