Identification of the age-period-cohort model and the extended chain ladder model

By D. Kuang, Bent Nielsen, Jens Perch Nielsen. 2008

101 citations recorded by the source corpus.

In this paper, we consider the identification problem arising in the age-period-cohort models, as well as in the extended chain ladder model. We propose a canonical parametrization based on the accelerations of the trends in the three factors. This parametrization is exactly identified. It eases interpretation, estimation and forecasting. The canonical parametrization is shown to apply for a class of index sets which have trapezoid shapes, including various Lexis diagrams and the insurance reserving triangles.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/40225abff361dcc3b875552bbad0a01b0ef35855

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Bent Nielsen
2. Jens Perch Nielsen
3. D. Kuang

In Economics and Econometrics

1. Bent Nielsen
2. Jens Perch Nielsen
3. D. Kuang

In Finance

1. Bent Nielsen
2. Jens Perch Nielsen
3. David F. Hendry

Citations in the corpus

• Forecasting with the age-period-cohort model and the extended chain-ladder model (2008, background): “In many cases it would be a generalized trapezoid (Kuang, Nielsen & Nielsen, 2008).”