Mack

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_kU₀
- U_CL = q_k*(C_k/p_k)
- U_GB = C_k + q_kU_BF
Mack's theorem 1

Further iteration of BF and GB for an arbitrary starting point U₀ finally leads to CL
MSE of Benktander method
- Almost as small as that of the optimal credibility reserve
- Smaller than for BF

Author

Esaie

33865

Card Set

Mack

Description

Exam6 by Esaie Mack

Updated

2010-09-10T18:58:01Z

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