Identification of the age-period-cohort model and the extended chain-ladder model
成果类型：
Article
署名作者：
Kuang, D.; Nielsen, B.; Nielsen, J. P.
署名单位：
University of Oxford; University of Oxford; City St Georges, University of London
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/asn026
发表日期：
2008
页码：
979986
关键词：
摘要：
We consider the identification problem that arises in the age-period-cohort models as well as in the extended chain-ladder model. We propose a canonical parameterization based on the accelerations of the trends in the three factors. This parameterization is exactly identified and eases interpretation, estimation and forecasting. The canonical parameterization is applied to a class of index sets which have trapezoidal shapes, including various Lexis diagrams and the insurance-reserving triangles.