Dear Scipy Developers and mailing list Readers

I'd like to address the issue [1] to implement Tweedie distributions [2] in scipy.stats.

Purpose
The family of Tweedie distributions contains many known distributions like the Poisson and the Gamma distribution, but also distributions between them, aka compound poisson gamma distribution, see [3]. These are often appropriate for insurance claims and other fields, where one has a (Poisson) random count process of events and every event has a (Gamma) random size/amount.
The distribution would enable simulations, maximum likelihood estimation of all parameters, choice and visualization of distributions, etc.

Implementation
I started PR [4] for Wrights generalized Bessel functions as a private function in scipy.special.
Once this is ready, the pdf follows immediately.
For the range of interest of Y ~ compound poisson gamma distribution, the distribution of Y has a point mass at zero and is otherwise continuous for Y>0.
As already discussed in the issue [1], Tweedie might best fit as rv_generic.
As such, it would be the first one, all others are either rv_discrete or rv_continuous.
Without a template, I would need guidance how to implement a new rv_generic.