ASTIN: The Benktander Golden Stairs and Other Parameter-Free Credibility Methods in Loss Reserving

Why use a Chain Ladder when you have Golden Stairs? The Benktander method has been my loss reserving method of choice for more than three decades, due to its simplicity and efficiency. To me it's the Benktander Golden Stairs. My talk gives a mathematical formulation of the notion that the Benktander method is not too far from optimal, most of the time. It does not claim that the Benktander method is optimal, only that it often is close; in most situations it outperforms the chain ladder method with a good margin. The criterion used to compare methods is “weighted average relative efficiency”. My results dispel the idea that iterating the Bornhuetter-Ferguson method more than once, leads to a significant improvement in prediction accuracy.


Speaker: Prof. Walther Neuhaus

Under the guidance of Ragnar Norberg, Walther studied at the University of Oslo and obtained his Ph.D. in Actuarial Science in 1988. His main areas of interest are claim cost estimation, linear Bayes estimation, and equalisation schemes. He is the author of about twenty published scientific papers in those areas. His twentieth-century career includes the position of chief actuary and appointed actuary in Oslo, a few years as an associate professor at the University of Oslo, and a longer period as an actuarial consultant in Sydney. Between 2003 and 2025 he worked as a consultant for non-life insurers in Norway and Portugal. Today he is the controlling actuary of a Norwegian insurer. Walther held a teaching position on the Master of Actuarial Science program at the University of Lisbon between 2002 and 2026.

Session moderator: Joana Gregório Raposo

Joana Gregório Raposo is a Portuguese senior non-life actuary currently based in Luxembourg, part of the Commissariat aux Assurances. She holds a bachelor's degree in Mathematics Applied to Economics and Management and a master's degree in Actuarial Science, both from ISEG - UL (Lisbon, Portugal). She is a qualified actuary, member of the following institutes: IAP (PT), IFoA (UK), SoAI (IE) and ILAC (LU). She has over eleven years of experience in actuarial topics, including pension funds in the UK and Irish markets, (re)insurance for life and non-life, Solvency II, IFRS 17, technical provisions under different bases, pricing and regulation.