Abstract
A claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bomhuetter/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.
KEYWORDS: Claims Reserves, Chain Ladder, Bomhuetter/Ferguson, Credibility, Standard Error
Volume
Porto Cervo, Italy
Year
2000
Categories
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Financial and Statistical Methods
Credibility
Publications
ASTIN Colloquium
