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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
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Abstract

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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
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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