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

D. Kuang, B. Nielsen and J. P. Nielsen
Authors registered in the RePEc Author Service: Bent Nielsen

Biometrika, 2008, vol. 95, issue 4, 979-986

Abstract: 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 interpretation, estimation and forecasting. The canonical parameterization is applied to a class of index sets which have trapezoidal shapes, including various Lexis diagrams and the insurance-reserving triangles. Copyright 2008, Oxford University Press.

Date: 2008
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Citations: View citations in EconPapers (22)

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Working Paper: Identification of the age-period-cohort model and the extended chain ladder model (2007)
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