A Note on the Generalized Cape Cod Reserving Method

Fuente: arXiv
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Main Authors: Richman, Ronald, Wüthrich, Mario V.
Format: Preprint
Published: 2026
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_version_ 1866918475608358912
author Richman, Ronald
Wüthrich, Mario V.
author_facet Richman, Ronald
Wüthrich, Mario V.
contents Claims reserving is one of the most important actuarial tasks in non-life insurance modeling. There are several popular methods to perform claims reserving such as the chain-ladder (CL), the Bornhuetter--Ferguson (BF) or the generalized Cape Cod (GCC) methods. These methods have originally been introduced as deterministic algorithms, and only in a later step, they have been lifted to stochastic models allowing for analyzing claims prediction uncertainty. This holds true for the CL and the BF methods, but not for the GCC method. The purpose of this article is to close this gap and derive an analytical formula for the mean squared error of prediction (MSEP) of the GCC method.
format Preprint
id arxiv_https___arxiv_org_abs_2604_27732
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle A Note on the Generalized Cape Cod Reserving Method
Richman, Ronald
Wüthrich, Mario V.
Applications
Risk Management
Other Statistics
Claims reserving is one of the most important actuarial tasks in non-life insurance modeling. There are several popular methods to perform claims reserving such as the chain-ladder (CL), the Bornhuetter--Ferguson (BF) or the generalized Cape Cod (GCC) methods. These methods have originally been introduced as deterministic algorithms, and only in a later step, they have been lifted to stochastic models allowing for analyzing claims prediction uncertainty. This holds true for the CL and the BF methods, but not for the GCC method. The purpose of this article is to close this gap and derive an analytical formula for the mean squared error of prediction (MSEP) of the GCC method.
title A Note on the Generalized Cape Cod Reserving Method
topic Applications
Risk Management
Other Statistics
url https://arxiv.org/abs/2604.27732