Hurlimann

Question 1

Individual Reserve Estimate

Answer 1

(Chain Ladder) R = C(q/p)

Question 2

Benktander Reserve

Answer 2

R(GB) = q x U(BF)

Question 3

Collective Reserve Estimate

Answer 3

R(coll) = Burning cost * q * premium

Question 4

% reported (Hurlimann)

Answer 4

sum of m (to i)/sum of m (to ultimate)

Question 5

Full credibility formula (Hurlimann)

Answer 5

Z = (p/q) * [Cov(C,R) + pqVar(Burning Cost)]/Var(C) + p^2*Var(Burning Cost)]

Question 6

Credibility options (CL, BF, GB, WN, Optimal)

Answer 6

CL (Z = 1)
BF (Z = 0)
GB (Z = p)
WN (Z = p*ELR)
Optimal (Z = p/(p + sqrt(p))