Mack (2000)

Question 1

Based on Mack 2000, write down the formula for the reserve estimate of the BF method

Answer 1

Write

Question 2

True or false : The BF method assumes the current claim amounts if fully predictive of future claims

Answer 2

False. Since RBF uses Uo, it assumes the current claims amount Ck is not predictive of future claims

Question 3

Based on Mack 2000, write down the formula for calculating the reserve estimate for Chain Ladder

Answer 3

Write

Question 4

True or false : The Chain Ladder method assumes the current claims amount Ck is fully predictive of future claims

Answer 4

True

Question 5

Name an advantage of Chain Ladder over BF

Answer 5

Using CL, different actuaries obtain similiar results. This is not the case with BF due to differences in the selection of Uo

Question 6

Write down the formula for the reserve estimate for Benktander method using Mack 2000 notation

Answer 6

write

Question 7

What is the credibility weight for the Benktander method?

Answer 7

c = pk

Question 8

What is the general relationship regarding iteration of ultimate claims and reserves Based on Mack 2000? What is the specific relationship for BF, GB and CL?

Answer 8

m = 2 pour GB
m = 1 pour BF
m = infini pour CL

Question 9

Name 4 advantages of the Benktander method over BF and CL

Answer 9

1. Lower MSE –> Neuhaus compared the MSE of Rc = c * RCL + (1- c) * RGB
   MSE of RGB is smaller than BF for c > pk/2
   Mack also states in the abstract that the Benktander method almost always has a smaller MSE than BF and CL
2. Better approximation of the exact Bayesian procedure
3. Superior to CL since it gives more weight to a priori expectation of ultimate losses
4. Superior to BF since it gives more weight to actual loss experience