ChainLadderandBornhuetterFerguson–SomePractical.pptVIP

Chain Ladder and Bornhuetter/Ferguson Chain Ladder and Bornhuetter/Ferguson – Some Practical Aspects by Thomas Mack, Munich Re Consider one single accident year Paid claims after k years of development Expected cumulative payout pattern p1, p2, ..., pk,..., pn = 1 e.g. 10%, 30%, 50%, 70%, 85%, 95%, 100% U0 = prior est. of ultimate claims amount RBF = qkU0 with qk = 1-pk Bornhuetter/F. Ck = claims amount paid up to now (completely ignored by BF) UBF = Ck + RBF posterior estimate (? U0) U = Ck + R (axiomatic relationship) UCL = Ck / pk Chain Ladder ult. claims RCL = UC