Entropy programming modeling of IBNR claims reserves

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.

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Correspondence to Éva Komáromi.

Additional information

The research was supported by the Hungarian National Research Grant No. 77420-2009.

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Komáromi, É. Entropy programming modeling of IBNR claims reserves. Ann Oper Res 200, 93–108 (2012). https://doi.org/10.1007/s10479-011-0882-7

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Keywords

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