A Cape Cod model for the exponential dispersion family

Greg Taylor

Insurance: Mathematics and Economics, 2019, vol. 85, issue C, 126-137

Abstract: The defining feature of the Cape Cod algorithm in current literature is its assumption of a constant loss ratio over accident periods. This is a highly simplifying assumption relative to the chain ladder model which, in effect, allows loss ratio to vary freely over accident period.

Keywords: Cape cod; Chain ladder; Exponential dispersion family; Loss reserve; MLE; MVUE; ODP; Tweedie family (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:85:y:2019:i:c:p:126-137

DOI: 10.1016/j.insmatheco.2018.11.008

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