Working paper icon

Working paper

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.

Actions


Access Document


Files:

Authors


Bent Nielsen More by this author
J. P. Nielsen More by this author
Volume:
W09
Series:
Economics Working Papers
Publication date:
2008
URN:
uuid:6d97958a-252f-4e13-a715-11d8010542e2
Local pid:
oai:economics.ouls.ox.ac.uk:11932
Language:
English

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP