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Mack variables
U
: ultimate claims
R
: reserve
C
: claims paid
p
i
: % rpt = 1 / CDF
ult
q
i
: % unrpt = 1 - 1 / CDF
ult
BF, CL & Benktander in Mack's notation
U
BF
= C
k
+ q
k
U
0
U
CL
= q
k
*(C
k
/p
k
)
U
GB
= C
k
+ q
k
U
BF
Mack's theorem 1
Further iteration of BF and GB for an arbitrary starting point U
0
finally leads to CL
MSE of Benktander method
Almost as small as that of the optimal credibility reserve
Smaller than for BF
Author
Esaie
ID
33865
Card Set
Mack
Description
Exam6 by Esaie Mack
Updated
2010-09-10T18:58:01Z
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