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Entropy programming modeling of IBNR claims reserves

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  • Éva Komáromi

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. Copyright Springer Science+Business Media, LLC 2012

Suggested Citation

  • Éva Komáromi, 2012. "Entropy programming modeling of IBNR claims reserves," Annals of Operations Research, Springer, vol. 200(1), pages 93-108, November.
    • Handle: RePEc:spr:annopr:v:200:y:2012:i:1:p:93-108:10.1007/s10479-011-0882-7
    DOI: 10.1007/s10479-011-0882-7
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    References listed on IDEAS

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    1. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    2. Alfredo N. Iusem & B. F. Svaiter & Marc Teboulle, 1994. "Entropy-Like Proximal Methods in Convex Programming," Mathematics of Operations Research, INFORMS, vol. 19(4), pages 790-814, November.
    3. Venter, Gary G., 2006. "Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 566-571, November.
    4. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
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