Article ID: | iaor20126094 |
Volume: | 200 |
Issue: | 1 |
Start Page Number: | 93 |
End Page Number: | 108 |
Publication Date: | Nov 2012 |
Journal: | Annals of Operations Research |
Authors: | Komromi va |
Keywords: | programming: probabilistic |
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.