Credible Claims Reserves: the Benktander Method

DOI10.2143/AST.30.2.504639MaRDI QIDQ4461293zbMATH OpenOpenAlexFDO

Authors Th. Mack

Publication date 30 March 2004

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.30.2.504639

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Credible loss ratio claims reserves the Benktander, Neuhaus and Mack methods revisited
• Credibility for the Chain Ladder Reserving Method
• Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
• The Prediction Error of Bornhuetter/Ferguson

Cited in

(13)

• Loss prediction based on run-off triangles
• Claims reserving in the hierarchical generalized linear model framework
• Claims reserving: A correlated Bayesian model
• Credible loss ratio claims reserves the Benktander, Neuhaus and Mack methods revisited
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• The Prediction Error of Bornhuetter/Ferguson
• Credibility for the Chain Ladder Reserving Method
• Gunnar Benktander 1919--2018
• Prediction error for credible claims reserves: an h-likelihood approach
• Full and 1‐year runoff risk in the credibility‐based additive loss reserving method
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• Stochastic loss reserving using individual information model with over-dispersed Poisson

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