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.

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Year of publication:	2008
Authors:	Kuang, D. ; Nielsen, B. ; Nielsen, J. P.
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 95.2008, 4, p. 987-991
Publisher:	Biometrika Trust

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005569432