Forecasting with 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, 987-991

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. Copyright 2008, Oxford University Press.

Date: 2008
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