Forecasting with the age-period-cohort model and the extended chain-ladder model

被引：59

作者：

Kuang, D. ^{[1
]}

Nielsen, B. ^{[2
]}

Nielsen, J. P. ^{[3
]}

机构：

[1] Univ Oxford, Dept Stat, Oxford OX1 3TG, England

[2] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England

[3] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

来源：

BIOMETRIKA | 2008年 / 95卷 / 04期

基金：

英国经济与社会研究理事会;

关键词：

Age-period-cohort model; Chain-ladder model; Forecasting; Identification;

D O I：

10.1093/biomet/asn038

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

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.

引用

页码：987 / 991

页数：5

共 9 条

[1]

Barnett G., 2000, P CASUALTY ACTUARI 2, V87, P245

[2] BAYESIAN-ANALYSIS OF SURVIVAL ON MULTIPLE TIME SCALES [J].