Mack

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Author:
Esaie
ID:
33865
Filename:
Mack
Updated:
2010-09-10 14:58:01
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Exam6 by Esaie
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Exam6 by Esaie Mack
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  1. Mack variables
    • U: ultimate claims
    • R: reserve
    • C: claims paid
    • pi: % rpt = 1 / CDFult
    • qi: % unrpt = 1 - 1 / CDFult
  2. BF, CL & Benktander in Mack's notation
    • UBF = Ck + qkU0
    • UCL = qk*(Ck/pk)
    • UGB = Ck + qkUBF
  3. Mack's theorem 1
    Further iteration of BF and GB for an arbitrary starting point U0 finally leads to CL
  4. MSE of Benktander method
    • Almost as small as that of the optimal credibility reserve
    • Smaller than for BF

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