Mack

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Author:
Esaie
ID:
26176
Filename:
Mack
Updated:
2010-07-09 16:13:27
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Exam6
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  1. Mack's Formula for Ultimate Losses
    • U = Ck + R, where
    • 1. U = Ultimate Claims
    • 2. Ck = Claims amount paid up to time k
    • 3. R = Reserve Estimate
  2. Advantages of Benktander Method over B-F and C-L Methods
    • 1. Generally has a lower mean squared error
    • 2. Found to be almost as precise as an exact Bayesian procedure
    • 3. Outperforms the B-F and C-L methods in many situations
  3. Mack's Formula for Reserve Estimate Using Gunnar Benktander Method (RGB)
    • RGB = qkUBF or pkRCL + (1 - pk)RBF where
    • 1. UBF = Estimate of ultimate losses using B-F method
    • 2. RCL = Reserve estimate using Chain Ladder method
    • 3. RBF = Reserve estimate using B-F method
    • 4. pk = proportion of ultimate claims amount paid at time k = 1=ULDk
    • 5. qk = proportion of ultimate claims amount unpaid at timek = 1 - pk
  4. Mack's Formula for Ultimate Losses Using Gunnar Benktander Method (UGB)
    • UGB = Ck + RGB = (1 - qk2)UCL + qk2U0 where
    • 1. UCL = Estimate of ultimate losses using LDF method
    • 2. U0 = Estimate of ultimate losses prior to taking claims experience into account
    • 3. RGB = Reserve estimate using Gunnar Benktander method
    • 4. Ck = Claims paid to date at period k
    • 5. qk = proportion of ultimate claims amount unpaid at timek = 1 - pk

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