Skip Navigation


Biometrika Advance Access originally published online on September 22, 2008
Biometrika 2008 95(4):987-991; doi:10.1093/biomet/asn038
This Article
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
95/4/987    most recent
asn038v1
Right arrow References
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Kuang, D.
Right arrow Articles by Nielsen, J. P.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© 2008 Biometrika Trust

Miscellanea

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

D. Kuang

Department of Statistics, University of Oxford, Oxford OX1 3TG, U.K. di.kuang{at}some.ox.ac.uk

B. Nielsen

Nuffield College, Oxford OX1 1NF, U.K. bent.nielsen{at}nuffield.ox.ac.uk

J. P. Nielsen

Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, U.K. Jens.Nielsen.1{at}city.ac.uk

Received for publication 1 January 2008. Revision received 1 May 2008.
  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.

Key Words: Age-period-cohort model • Chain-ladder model • Forecasting • Identification


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.