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Forecasting with the age-period-cohort model and the extended chain-ladder model

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  • D. Kuang
  • B. Nielsen
  • J. P. Nielsen

Abstract

We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model. The parameters of these models are known only to be identified up to linear trends. Forecasts from such models may therefore depend on arbitrary linear trends. A condition for invariant forecasts is proposed. A number of standard forecast models are analysed. Copyright 2008, Oxford University Press.

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File URL: http://hdl.handle.net/10.1093/biomet/asn038
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Bibliographic Info

Article provided by Biometrika Trust in its journal Biometrika.

Volume (Year): 95 (2008)
Issue (Month): 4 ()
Pages: 987-991

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Handle: RePEc:oup:biomet:v:95:y:2008:i:4:p:987-991

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  1. Di Kuang & Bent Nielsen & J. P. Nielsen, 2007. "Identification of the age-period-cohort model and the extended chain ladder model," Economics Papers 2007-W05, Economics Group, Nuffield College, University of Oxford.
  2. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.
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Cited by:
  1. María Dolores Martínez Miranda & Bent Nielsen & Jens Perch Nielsen, 2013. "Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality," Economics Papers 2013-W05, Economics Group, Nuffield College, University of Oxford.
  2. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.

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