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

Author

Listed:
  • 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.

Suggested Citation

  • D. Kuang & Bent Nielsen & J. P. Nielsen, 2008. "Forecasting with the age-period-cohort model and the extended chain-ladder model," Economics Papers 2008-W09, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:0809
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    References listed on IDEAS

    as
    1. D. Kuang & B. Nielsen & J. P. Nielsen, 2008. "Identification of the age-period-cohort model and the extended chain-ladder model," Biometrika, Biometrika Trust, vol. 95(4), pages 979-986.
    2. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
    3. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Terence C. Cheng & Nattavudh Powdthavee & Andrew J. Oswald, 2017. "Longitudinal Evidence for a Midlife Nadir in Human Well‐being: Results from Four Data Sets," Economic Journal, Royal Economic Society, vol. 127(599), pages 126-142, February.
    3. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    4. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
    5. Zoë Fannon & B. Nielsen, 2018. "Age-period cohort models," Economics Papers 2018-W04, Economics Group, Nuffield College, University of Oxford.
    6. Weidong Ji & Na Xie & Daihai He & Weiming Wang & Hui Li & Kai Wang, 2019. "Age-Period-Cohort Analysis on the Time Trend of Hepatitis B Incidence in Four Prefectures of Southern Xinjiang, China from 2005 to 2017," IJERPH, MDPI, vol. 16(20), pages 1-17, October.
    7. María Dolores Martínez Miranda & Bent Nielsen & Jens Perch Nielsen, 2015. "Inference and forecasting in the age–period–cohort model with unknown exposure with an application to mesothelioma mortality," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(1), pages 29-55, 01.

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    More about this item

    Keywords

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