Showing 1 - 10 of 16
It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. The maximum likelihood estimators for...
Persistent link: https://www.econbiz.de/10008469678
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...
Persistent link: https://www.econbiz.de/10005559280
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
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/10011004311
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...
Persistent link: https://www.econbiz.de/10011004176
It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique.  We revisit this model.  A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation.  The maximum likelihood estimators...
Persistent link: https://www.econbiz.de/10011004394
Persistent link: https://www.econbiz.de/10005794878
Persistent link: https://www.econbiz.de/10004982613
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...
Persistent link: https://www.econbiz.de/10005549195
Persistent link: https://www.econbiz.de/10010601864