Forecasting with 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/asn038
发表日期：
2008
页码：
987991
关键词：
摘要：
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.