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

DOI10.1093/BIOMET/ASN026MaRDI QIDQ134237zbMATH OpenOpenAlexFDO

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

age-period-cohort modelchain-ladder modelidentification

Mathematics Subject Classification ID

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

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Cited in

(35)

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

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Uses Software

• R

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