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

Kuang, D., Nielsen, B. & Nielsen, J. P. (2008). Identification of the age-period-cohort model and the extended chain-ladder model. Biometrika, 95(4), pp. 979-986. doi: 10.1093/biomet/asn026

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: Age-period-cohort model, Chain-ladder model, Identification
Subjects: Q Science > QA Mathematics
Divisions: Cass Business School > Faculty of Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/18251

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