Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-17T14:38:15.631Z Has data issue: false hasContentIssue false
  • English
  • Français

Credible Claims Reserves: the Benktander Method

Published online by Cambridge University Press:  29 August 2014

Thomas Mack
Thomas Mack*
Affiliation:
Munich Re, Munich
*
Munich Re, 80791 München, Germany, E-mail: tmack@munichre.com
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

A claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bornhuetter/Ferguson and Chain Ladder. In this paper, the mean squared errors of all 3 methods are calculated and compared on the basis of a very simple stochastic model. The Benktander method is found to have almost always a smaller mean squared error than the other two methods and to be almost as precise as an exact Bayesian procedure.

Keywords

Claims ReservesChain LadderBornhuetter/FergusonCredibilityStandard Error
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 2 , November 2000 , pp. 333 - 347
Copyright
Copyright © International Actuarial Association 2000

References

Benktander, G. (1976) An Approach to Credibility in Calculating IBNR for Casualty Excess Reinsurance. In The Actuarial Review, April 1976, p. 7.Google Scholar
Bornhuetter, R.L. and Ferguson, R.E. (1972) The Actuary and IBNR. In Proceedings of the Casualty Actuarial Society, Vol. LIX, 181–195.Google Scholar
Gogol, D. (1993) Using Expected Loss Ratios in Reserving. In Insurance: Mathematics and Economics 12, 297–299.Google Scholar
Hovinen, E. (1981) Additive and Continuous IBNR. ASTIN Colloquium Loen/Norway.Google Scholar
Mack, Th. (1993) Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. ASTIN Bulletin 23 (1993), 213–225.CrossRefGoogle Scholar
Neuhaus, W. (1992) Another Pragmatic Loss Reserving Method or Bornhuetter/Ferguson Revisited. In Scand. Actuarial J. 1992, 151–162.CrossRefGoogle Scholar