Prediction uncertainties in the Cape Cod reserving method

Annina Saluz

Annals of Actuarial Science, 2015, vol. 9, issue 2, 239-263

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.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:9:y:2015:i:02:p:239-263_00

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