# Mack

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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
 Author: Esaie ID: 26176 Card Set: Mack Updated: 2010-07-09 20:13:27 Tags: Exam6 Folders: Description: Show Answers: