Entropy programming modeling of IBNR claims reserves
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Publication:1931646
DOI10.1007/s10479-011-0882-7zbMath1254.91269OpenAlexW2036605508MaRDI QIDQ1931646
Publication date: 15 January 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-011-0882-7
convex programmingmaximum likelihood estimatesgeneralized linear modelsmultiplicative modelsentropy programmingchain ladder techniqueIBNR claims reserve
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Cites Work
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- Entropy optimization and mathematical programming
- Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
- On the duality of the mixed entropy programming
- Proximal Minimization Methods with Generalized Bregman Functions
- Entropy-Like Proximal Methods in Convex Programming
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