The Skewness of Cape-Cod in a Distribution-Free Model

After the chain ladder and the Bornhuetter-Ferguson method, the Cape Cod reserving method is among the most popular methods used to project non-life paid or incurred triangles. For this method, Saluz (2015) developed a stochastic model allowing the estimation of the prediction error resulting from such projections. This stochastic model involves a parameterization of the Cape Cod method based on incremental triangles of incurred or paid. Hence, this parameterized method differs from the usual way in which the Cape Cod is usually applied on cumulative triangles of incurred or paid. Based on this proposed stochastic model, this paper provides a first approach for the estimation of the third moment, i.e., the skewness, of the resulting reserving distribution. In order to apply the proposed estimation method, a numerical example is provided.