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Biometrika Advance Access originally published online on September 22, 2008
Biometrika 2008 95(4):987-991; doi:10.1093/biomet/asn038
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© 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.

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



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This Article
Right arrow Abstract Freely available
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
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Right arrow Email this article to a friend
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Right arrow Articles by Kuang, D.
Right arrow Articles by Nielsen, J. P.
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What's this?