Forecasting with the age-period-cohort model and the extended chain-ladder model

D. Kuang (), Bent Nielsen and J. P. Nielsen ()
Additional contact information
D. Kuang: Department of Statistics, University of Oxford
J. P. Nielsen: Cass Business School

No 2008-W09, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: 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.

Keywords: Age-period-cohort model; Chain-ladder model; Forecasting; Identification. (search for similar items in EconPapers)
Pages: 8 pages
Date: 2008
New Economics Papers: this item is included in nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Journal Article: Forecasting with the age-period-cohort model and the extended chain-ladder model (2008)
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