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

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.

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Publisher copy:
10.1093/biomet/asn038

Authors


Bent Nielsen More by this author
J. P. Nielsen More by this author
Journal:
Biometrika
Volume:
95
Issue:
4
Publication date:
2008
DOI:
URN:
uuid:58bdc528-e146-474b-9764-1ac5ca661cea
Local pid:
oai:economics.ouls.ox.ac.uk:14477
Language:
English

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