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Over-dispersed age-period-cohort models

Author

Listed:
  • J. Harnau

    (Department of Economics and Oriel College, University of Oxford)

  • B. Nielsen

    (Department of Economics and Nuffield, University of Oxford)

Abstract

We consider inference and forecasting for aggregate data organised in a twoway table with age and cohort as indices, but without measures of exposure. This is modelled using a Poisson likelihood with an age-period-cohort structure for the mean while allowing for over-dispersion. We propose a repetitive structure that keeps the dimension of table fixed while increasing the latent exposure. For this we use a class of infinitely divisible distributions which include a variety of compound Poisson models and Poisson mixture models. This results in asymptotic F inference and t forecast distributions

Suggested Citation

  • J. Harnau & B. Nielsen, 2017. "Over-dispersed age-period-cohort models," Economics Papers 2017-W06, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:1706
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    File URL: https://www.nuffield.ox.ac.uk/economics/Papers/2017/HarnauNielsen2017apcDP.pdf
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    References listed on IDEAS

    as
    1. England, Peter, 2002. "Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 461-466, December.
    2. Paulo J. R. Pinheiro & João Manuel Andrade e Silva & Maria De Lourdes Centeno, 2003. "Bootstrap Methodology in Claim Reserving," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 701-714, December.
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    Cited by:

    1. Jonas Harnau, 2018. "Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models," Risks, MDPI, vol. 6(2), pages 1-25, March.
    2. Zoë Fannon & B. Nielsen, 2018. "Age-period cohort models," Economics Papers 2018-W04, Economics Group, Nuffield College, University of Oxford.
    3. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Economics Papers 2018-W02, Economics Group, Nuffield College, University of Oxford.
    4. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
    5. Zoë Fannon & Christiaan Monden & Bent Nielsen, 2018. "Age-period-cohort modelling and covariates, with an application to obesity in England 2001-2014," Economics Papers 2018-W05, Economics Group, Nuffield College, University of Oxford.
    6. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Papers 1806.05939, arXiv.org.

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