A Note on the Generalized Cape Cod Reserving Method
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
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2026
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| _version_ | 1866918475608358912 |
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| 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 |
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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 |