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

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.

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Authors


Bent Nielsen More by this author
J. P. Nielsen More by this author
Volume:
W05
Series:
Economics Working Papers
Publication date:
2007
URN:
uuid:1e93ead8-a399-4818-8c44-f5c6481a2b82
Local pid:
oai:economics.ouls.ox.ac.uk:11933
Language:
English

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