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.

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Year of publication:	2008-06-16
Authors:	Kuang, D. ; Nielsen, Bent ; Nielsen, J. P.
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Age-period-cohort model \| Chain-ladder model \| Forecasting \| Identification

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008-W09 8 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730287