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Identification of the age-period-cohort model and the extended chain ladder model

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Author Info

  • Di Kuang

    (Dept of Statistics, University of Oxford)

  • Bent Nielsen

    ()
    (Nuffield College, Oxford University)

  • J. P. Nielsen

    (Cass Business School, City University London)

Abstract

In this paper, we consider the identification problem arising in the age-period-cohort models, as well as in the extended chain ladder model. We propose a canonical parametrization based on the accelerations of the trends in the three factors. This parametrization is exactly identified. It eases interpretation, estimation and forecasting. The canonical parametrization is shown to apply for a class of index sets which have trapezoid shapes, including various Lexis diagrams and the insurance reserving triangles.

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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2007/w5/KuangNielsenNielsen07.pdf
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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2007-W05.

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Length: 14 pages
Date of creation: 11 2007
Date of revision:
Handle: RePEc:nuf:econwp:0705

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Web page: http://www.nuff.ox.ac.uk/economics/

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Cited by:
  1. Bent Nielsen & D. Kuang & B. Nielsen, 2008. "Forecasting with the age-period-cohort model and the extended chain-ladder model," Economics Series Working Papers 2008-WO9, University of Oxford, Department of Economics.

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