Forecasting with the age-period-cohort model and the extended chain-ladder model
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.
Volume (Year): 95 (2008)
Issue (Month): 4 ()
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- England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(03), pages 443-518, August.
- D. Kuang & B. Nielsen & J. P. Nielsen, 2008.
"Identification of the age-period-cohort model and the extended chain-ladder model,"
Biometrika Trust, vol. 95(4), pages 979-986.
- 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.
- Bent Nielsen & D. Kuang, 2007. "Identification of the age-period-cohort model and the extended chain ladder model," Economics Series Working Papers 2007-WO5, University of Oxford, Department of Economics.
- 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.
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