Template-type: ReDIF-Paper 1.0
Author-Name: D. Kuang
Author-Email: di.kuang@some.ox.ac.uk
Author-Workplace-Name: Department of Statistics, University of Oxford
Author-Name: Bent Nielsen
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford University
Author-Name: J. P. Nielsen
Author-Email: jens.nielsen.1@city.ac.uk
Author-Workplace-Name: Cass Business School
Title: Forecasting with the age-period-cohort model and the extended chain-ladder model
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.
Keywords: Age-period-cohort model; Chain-ladder model; Forecasting; Identification.
Length: 8 pages
Creation-Date: 2008-16-06
Number: 2008-W09
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2008/w9/KuangNielsenNielsen_Forecast.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0809