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

Listed author(s):
  • D. Kuang

    ()

    (Department of Statistics, University of Oxford)

  • Bent Nielsen

    ()

    (Nuffield College, Oxford University)

  • J. P. Nielsen

    ()

    (Cass Business School)

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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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
Handle: RePEc:nuf:econwp:0809
Contact details of provider: Web page: https://www.nuffield.ox.ac.uk/economics/

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  1. 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.
  2. 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.
  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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