Mack 2000

Question 1

Chain Ladder Ultimate

Answer 1

Question 2

B-F Ultimate

Answer 2

BF is credibility weighted average of a priori and CL where weight = %reported or %paid

Question 3

Benktander Ultimate

Answer 3

GB is credibility weighted average of BF and CL where weight = %reported or %paid

Question 4

GB is superior to BF and CL

Answer 4

Lower mean squared error

Better linear approx. of exact Bayesian procedure

Superior to CL since it gives more weight to a priori expectation of ultimate losses

Superior to BF since it gives more weight to actual loss experience/emerged losses

Question 5

Iterative formulas for U and R

Answer 5

Question 6

Esa Hovinen

Answer 6

Esa Hovinen is really just GB reserve