Entropy programming modeling of IBNR claims reserves

Éva Komáromi ()

Annals of Operations Research, 2012, vol. 200, issue 1, 93-108

Abstract: The key focus of the paper is the introduction of a new deterministic approach to outstanding claims reserving in general insurance. The goals are to present a class of entropy programming models for determining claims reserves estimates; to justify popular simple techniques like the chain ladder technique and the separation method; to establish close connection of entropy programming models with log-linear models, maximum likelihood estimates; and to suggest new methods in the entropy programming framework. Copyright Springer Science+Business Media, LLC 2012

Keywords: IBNR claims reserve; Entropy programming; Convex programming; Chain ladder technique; Multiplicative models; Generalized linear models; Maximum likelihood estimates (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10479-011-0882-7

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