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Annals of Operations Research

, Volume 200, Issue 1, pp 93–108 | Cite as

Entropy programming modeling of IBNR claims reserves

  • Éva KomáromiEmail author
Article
  • 140 Downloads

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.

Keywords

IBNR claims reserve Entropy programming Convex programming Chain ladder technique Multiplicative models Generalized linear models Maximum likelihood estimates 

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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Corvinus University of BudapestBudapestHungary

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