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A Note on the Generalized Cape Cod Reserving Method

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  • Ronald Richman
  • Mario V. Wuthrich

Abstract

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.

Suggested Citation

  • Ronald Richman & Mario V. Wuthrich, 2026. "A Note on the Generalized Cape Cod Reserving Method," Papers 2604.27732, arXiv.org.
    • Handle: RePEc:arx:papers:2604.27732
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    References listed on IDEAS

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    1. England, Peter D. & Verrall, Richard J. & Wüthrich, Mario V., 2012. "Bayesian over-dispersed Poisson model and the Bornhuetter & Ferguson claims reserving method," Annals of Actuarial Science, Cambridge University Press, vol. 6(2), pages 258-283, September.
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    8. Mack, Thomas, 2008. "Correction Note to “The Prediction Error of Bornhuetter/Ferguson” By T. Mack," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 38(02), pages 669-669, November.
    9. Alai, D. H. & Merz, M. & Wüthrich, M. V., 2009. "Mean Square Error of Prediction in the Bornhuetter–Ferguson Claims Reserving Method," Annals of Actuarial Science, Cambridge University Press, vol. 4(1), pages 7-31, March.
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