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Prediction uncertainties in the Cape Cod reserving method

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  • Saluz, Annina

Abstract

The Cape Cod (CC) method was designed by Bühlmann and Straub in order to overcome some shortcomings of the chain ladder (CL) method. Owing to its simplicity and because of the advantages over the CL method, the CC method has become a well-established method in practice. In this paper we consider a distribution-free stochastic model for the CC method. Within this model we give the parameter estimates and we derive estimates for the conditional mean square error of prediction for the CC method. In addition, we derive an estimate for the uncertainty in the claims development result.

Suggested Citation

  • Saluz, Annina, 2015. "Prediction uncertainties in the Cape Cod reserving method," Annals of Actuarial Science, Cambridge University Press, vol. 9(2), pages 239-263, September.
    • Handle: RePEc:cup:anacsi:v:9:y:2015:i:02:p:239-263_00
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    Cited by:

    1. Taylor, Greg, 2019. "A Cape Cod model for the exponential dispersion family," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 126-137.
    2. Jan Barlak & Matus Bakon & Martin Rovnak & Martina Mokrisova, 2022. "Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business," Risks, MDPI, vol. 10(9), pages 1-17, August.

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