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

DOI10.1093/BIOMET/ASN026MaRDI QIDQ134237zbMATHOpenAlexFDO

Authors D. Kuang, B. Nielsen, J. P. Nielsen

Publication date 11 November 2008

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asn026

zbMATH Keywords

identificationage-period-cohort modelchain-ladder model

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited in

(33)

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• Penalized smoothing splines resolve the curvature identifiability problem in age-period-cohort models with unequal intervals
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• Longevity risk and capital markets: the 2015--16 update
• A nonparametric approach to identify age, time, and cohort effects
• Modelling mortality: A bayesian factor-augmented var (favar) approach
• A review and comparison of age-period-cohort models for cancer incidence
• Estimation and extrapolation of time trends in registry data -- borrowing strength from related populations
• Rethinking age-period-cohort mortality trend models
• Hierarchical Bayesian modeling of multi-country mortality rates
• Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type
• On the Structure and Classification of Mortality Models
• Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
• Calendar effect and in-sample forecasting
• apc
• The age-time-cohort problem and the identification of structural parameters in life-cycle models
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Generalised additive dependency inflated models including aggregated covariates
• Longevity Risk Modeling with the Consumer Price Index
• Correlated age-specific mortality model: an application to annuity portfolio management
• Over-Dispersed Age-Period-Cohort Models
• EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS
• Regularized bidimensional estimation of the hazard rate
• Estimation of a semiparametric multiplicative density model
• Modeling the number of hidden events subject to observation delay
• Double chain ladder, claims development inflation and zero-claims
• Ensemble distributional forecasting for insurance loss reserving
• Identification and forecasting in mortality models
• The geometric chain-ladder
• Asymptotics for in-sample density forecasting
• In-sample forecasting applied to reserving and mesothelioma mortality

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Uses Software

• R

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