Entropy programming modeling of IBNR claims reserves
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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.
KeywordsIBNR claims reserve Entropy programming Convex programming Chain ladder technique Multiplicative models Generalized linear models Maximum likelihood estimates
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