Entropy programming modeling of IBNR claims reserves

Entropy programming modeling of IBNR claims reserves

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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:
Keywords: programming: probabilistic
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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