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

Di Kuang, Bent Nielsen and J. P. Nielsen
Additional contact information
Di Kuang: Dept of Statistics, University of Oxford
J. P. Nielsen: Cass Business School, City University London

No 2007-W05, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: In this paper, we consider the identification problem arising in the age-period-cohort models, as well as in the extended chain ladder model. We propose a canonical parametrization based on the accelerations of the trends in the three factors. This parametrization is exactly identified. It eases interpretation, estimation and forecasting. The canonical parametrization is shown to apply for a class of index sets which have trapezoid shapes, including various Lexis diagrams and the insurance reserving triangles.

Pages: 14 pages
Date: 2007
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Journal Article: Identification of the age-period-cohort model and the extended chain-ladder model (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0705

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