In this paper, we consider estimation with lossy measurements. This problem can arise when measurements are communicated over wireless channels. We model the plant/measurement loss process as a Markovian jump linear system. While the time-varying Kalman estimator (TVKE) is known to be optimal, we introduce a simpler design, termed a jump linear estimator (JLE), to cope with losses. A JLE has predictor/corrector form, but at each time selects a corrector gain from a finite set of precalculated gains. The motivation for the JLE is twofold. The computational burden of the JLE is less than that of the TVKE and the estimation errors expected when using JLE provide an upper bound for those expected when using TVKE. We then introduce a special class of JLE, termed finite loss history estimators (FLHE), which uses a canonical gain selection logic. A notion of optimality for the FLHE is defined and an optimal synthesis method is given. The proposed design method is compared to TVKE in a simulation study.