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

Listed author(s):
  • D. Kuang
  • B. Nielsen
  • J. P. Nielsen

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.

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File URL: http://hdl.handle.net/10.1093/biomet/asn038
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Article provided by Biometrika Trust in its journal Biometrika.

Volume (Year): 95 (2008)
Issue (Month): 4 ()
Pages: 987-991

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Handle: RePEc:oup:biomet:v:95:y:2008:i:4:p:987-991
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  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(03), 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, July.
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