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Identification and Forecasting in the Lee-Carter Model
Nielsen, Bent - 2010
We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for invariant...
Persistent link: https://www.econbiz.de/10013135261
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Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality
Miranda, Maŕa Dolores Mart́nez; Nielsen, Bent; … - 2013
Persistent link: https://www.econbiz.de/10009747337
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Measuring and forecasting financial variability using realised variance
Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil G. - In: State space and unobserved component models : theory …, (pp. 205-235). 2004
Persistent link: https://www.econbiz.de/10009719924
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Identification and forecasting in the Lee-Carter model
Nielsen, Bent; Nielsen, Jens Perch - 2010
Persistent link: https://www.econbiz.de/10008822237
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Forecasting in an extended chain-ladder-type model
Kuang, Di; Nielsen, Bent; Nielsen, Jens Perch - In: The journal of risk and insurance : the journal of the … 78 (2011) 2, pp. 345-359
Persistent link: https://www.econbiz.de/10009162046
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Forecasting with the age-period-cohort model and the extended chain-ladder model
Kuang, Di; Nielsen, Bent; Nielsen, Jens Perch - 2008
Persistent link: https://www.econbiz.de/10003807442
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Over-dispersed age-period-cohort models
Harnau, Jonas; Nielsen, Bent - 2017
Persistent link: https://www.econbiz.de/10011882276