Over-dispersed age-period-cohort models

J. Harnau () and B. Nielsen ()
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J. Harnau: Department of Economics and Oriel College, University of Oxford
B. Nielsen: Department of Economics and Nuffield, University of Oxford

No 2017-W06, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We consider inference and forecasting for aggregate data organised in a twoway table with age and cohort as indices, but without measures of exposure. This is modelled using a Poisson likelihood with an age-period-cohort structure for the mean while allowing for over-dispersion. We propose a repetitive structure that keeps the dimension of table fixed while increasing the latent exposure. For this we use a class of infinitely divisible distributions which include a variety of compound Poisson models and Poisson mixture models. This results in asymptotic F inference and t forecast distributions

Keywords: Chain-ladder model; Forecasting; Generalized linear model; Inference; Infinitely divisible, Two-way table (search for similar items in EconPapers)
Pages: 22 pages
Date: 2017-07-31
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1706

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