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

Kuang, D.; Nielsen, Bent; Nielsen, Jens Perch - 2007

Persistent link: https://www.econbiz.de/10003807414

Chain-ladder as maximum likelihood revisited

Kuang, D.; Nielsen, Bent; Nielsen, Jens Perch - In: Annals of actuarial science : publ. by the Institute of … 4 (2009) 1, pp. 105-121

Persistent link: https://www.econbiz.de/10003938531

Chain-ladder as maximum likelihood revisited

Kuang, D.; Nielsen, Bent; Nielsen, Jens Perch - 2009

Persistent link: https://www.econbiz.de/10003875083

The geometric chain-ladder

Kuang, D.; Nielsen, Bent; Nielsen, Jens Perch - 2013

Persistent link: https://www.econbiz.de/10009772561

Chain-ladder as maximum likelihood revisited

Kuang, D.; Nielsen, B.; Nielsen, J. P. - In: Annals of actuarial science : publ. by the Institute of … 4 (2009) 1, pp. 105-121

Persistent link: https://www.econbiz.de/10009884604

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

Kuang, D.; Nielsen, Bent; Nielsen, J. P. - Economics Group, Nuffield College, University of Oxford - 2008

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...

Persistent link: https://www.econbiz.de/10005730287