Credible Claims Reserves: the Benktander Method

Thomas Mack

ASTIN Bulletin, 2000, vol. 30, issue 2, 333-347

Abstract: A claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bornhuetter/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.

Date: 2000
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