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Credible Claims Reserves: the Benktander Method

Published online by Cambridge University Press:  29 August 2014

Thomas Mack*
Affiliation:
Munich Re, Munich
*
Munich Re, 80791 München, Germany, E-mail: [email protected]
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Abstract

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A claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bornhuetter/Ferguson and Chain Ladder. In this paper, the mean squared errors of all 3 methods are calculated and compared on the basis of a very simple stochastic model. The Benktander method is found to have almost always a smaller mean squared error than the other two methods and to be almost as precise as an exact Bayesian procedure.

Type
Articles
Copyright
Copyright © International Actuarial Association 2000

References

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