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Identification of the age-period-cohort model and the extended chain-ladder model

Kuang, D.; Nielsen, B.; Nielsen, J. P. - In: Biometrika 95 (2008) 4, pp. 979-986

We consider the identification problem that arises in the age-period-cohort models as well as in the extended chain-ladder model. We propose a canonical parameterization based on the accelerations of the trends in the three factors. This parameterization is exactly identified and eases...

Persistent link: https://www.econbiz.de/10005559280

Generalized log-normal chain-ladder

Kuang, D.; Nielsen, Bent - In: Scandinavian actuarial journal 2020 (2020) 6, pp. 553-576

Persistent link: https://www.econbiz.de/10012262754

Nonparametric prediction of stock returns based on yearly data : the long-term view

Scholz, Michael; Nielsen, Jens Perch; Sperlich, Stefan - In: Insurance / Mathematics & economics 65 (2015), pp. 143-155

Persistent link: https://www.econbiz.de/10011422898

Communication and personal selection of pension saver's financial risk

Gerrard, Russell; Hiabu, Munir; Kyriakou, Ioannis; … - In: European journal of operational research : EJOR 274 (2019) 3, pp. 1102-1111

Persistent link: https://www.econbiz.de/10011990304

Nonparametric long term prediction of stock returns with generated bond yields

Scholz, Michael; Sperlich, Stefan; Nielsen, Jens Perch - In: Insurance / Mathematics & economics 69 (2016), pp. 82-96

Persistent link: https://www.econbiz.de/10011530926

Facing up to longevity with old actuarial methods : a comparison of pooled funds and income tontines

Bräutigam, Marcel; Guillén, Montserrat; Nielsen, Jens … - In: The Geneva papers on risk and insurance - issues and … 42 (2017) 3, pp. 406-422

Persistent link: https://www.econbiz.de/10011735144

Implementing individual savings decisions for retirement with bounds on wealth

Donnelly, Catherine W.; Guillén, Montserrat; Nielsen, … - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 111-137

Persistent link: https://www.econbiz.de/10011875583

Long-term real dynamic investment planning

Gerrard, Russell; Hiabu, Munir; Nielsen, Jens Perch; … - In: Insurance / Mathematics & economics 92 (2020), pp. 90-103

Persistent link: https://www.econbiz.de/10012242041

A general semiparametric approach to inference with marker-dependent hazard rate models

Berg, Gerard J. van den; Janys, Lena; Mammen, Enno; … - In: Journal of econometrics 221 (2021) 1, pp. 43-67

Persistent link: https://www.econbiz.de/10012618795

Calendar effect and in-sample forecasting

Mammen, Enno; Martinez Miranda, Maria Dolores; Nielsen, … - In: Insurance / Mathematics & economics 96 (2021), pp. 31-52

Persistent link: https://www.econbiz.de/10012482744