Forecasting with the age-period-cohort model and the extended chain-ladder model. (English) Zbl 1437.62516

Kuang, D.; Nielsen, B.; Nielsen, J. P.

Biometrika 95, No. 4, 987-991 (2008).

Summary: 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.

MSC:

62P10

Applications of statistics to biology and medical sciences; meta analysis

Keywords:

age-period-cohort model; chain-ladder model; forecasting; identification