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

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Author Info

  • D. Kuang

    ()
    (Department of Statistics, University of Oxford)

  • Bent Nielsen

    ()
    (Nuffield College, Oxford University)

  • J. P. Nielsen

    ()
    (Cass Business School)

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.

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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2008/w9/KuangNielsenNielsen_Forecast.pdf
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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2008-W09.

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Length: 8 pages
Date of creation: 06 2008
Date of revision:
Handle: RePEc:nuf:econwp:0809

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

Related research

Keywords: Age-period-cohort model; Chain-ladder model; Forecasting; Identification.;

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References

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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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