Over-Dispersed Age-Period-Cohort Models

DOI10.1080/01621459.2017.1366908MaRDI QIDQ3121564zbMATH OpenOpenAlexFDO

Authors Jonas Harnau, Bent Nielsen

Publication date 20 March 2019

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:ec5cbb51-e9fa-4a49-861c-6982a9d8c7ee

zbMATH Keywords

chain-ladder modelforecastinggeneralized linear modelinferenceinfinitely divisibletwo-way table

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Contingency tables (62H17) Inference from stochastic processes and prediction (62M20)

Recommendations

• Age-period-cohort models and the perpendicular solution
• Modelling the Age‐Period‐Cohort Trend Surface
• Age structured epidemic modeling
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• Rethinking age-period-cohort mortality trend models

Cites work

• A class of probability distributions that is closed with respect to addition as well as multiplication of independent random variables
• A review and comparison of age-period-cohort models for cancer incidence
• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Asymptotics for in-sample density forecasting
• Forecasting with the age-period-cohort model and the extended chain-ladder model
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• Identification and forecasting in mortality models
• Identification of the age-period-cohort model and the extended chain-ladder model
• On the infinite divisibility of the lognormal distribution
• Rethinking age-period-cohort mortality trend models
• Some remarks on overdispersion
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• Univariate Discrete Distributions

Cited in

(12)

• Expectations, (in)stability and (in)viability in realistic overlapping cohorts models
• A comparison of in-sample forecasting methods
• Calendar effect and in-sample forecasting
• Dispersion modelling of outstanding claims with double Poisson regression models
• Asymptotic theory for Mack's model
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• The reserve uncertainties in the chain ladder model of Mack revisited
• Generalized log-normal chain-ladder
• Ensemble distributional forecasting for insurance loss reserving
• Modelling non-linear age-period-cohort effects and covariates, with an application to English obesity 2001--2014
• Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle
• Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience

Describes a project that uses

Uses Software

• R
• ChainLadder
• apc
• boot
• MASS (R)

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