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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)

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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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Publisher 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/

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

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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. [Downloadable!]
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