Calendar effect and in-sample forecasting

DOI10.1016/J.INSMATHECO.2020.10.003MaRDI QIDQ2656985zbMATHOpenAlexFDO

Authors Enno Mammen, María Dolores Martínez-Miranda, Michael Vogt, Jens Perch Nielsen

Publication date 17 March 2021

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.10.003

zbMATH Keywords

kernel smoothingage-period-cohort modelbackfittingnonparametric density estimationcontinuous chain ladder

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3892029 (Why is no real title available?)
• A comparison of in-sample forecasting methods
• A nonparametric approach to identify age, time, and cohort effects
• Asymptotics for in-sample density forecasting
• Continuous chain-ladder with paid data
• Fitting a bivariate additive model by local polynomial regression
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Identification and forecasting in mortality models
• Identification of the age-period-cohort model and the extended chain-ladder model
• In-sample forecasting applied to reserving and mesothelioma mortality
• In-sample forecasting with local linear survival densities
• In-sample forecasting: a brief review and new algorithms
• Multivariate Boundary Kernels from Local Linear Estimation
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES
• Nonparametric transformation to white noise
• Operational time and in-sample density forecasting
• Over-Dispersed Age-Period-Cohort Models
• Robust forecasting of mortality and fertility rates: a functional data approach
• Selection of estimation window in the presence of breaks
• Smooth backfitting in generalized additive models
• Specification and structural break tests for additive models with applications to realized variance data
• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Yield curve estimation by kernel smoothing methods

Cited in

(5)

• In-sample forecasting with local linear survival densities
• Modeling Time Series With Calendar Variation
• A comparison of in-sample forecasting methods
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Asymptotics for in-sample density forecasting

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Uses Software

• apc

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