Calendar effect and in-sample forecasting

DOI10.1016/J.INSMATHECO.2020.10.003zbMATH Open1471.91476OpenAlexW3092394320MaRDI QIDQ2656985FDOQ2656985

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

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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)

Cites Work

• Identification of the age-period-cohort model and the extended chain-ladder model
• Robust forecasting of mortality and fertility rates: a functional data approach
• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Yield curve estimation by kernel smoothing methods
• Smooth backfitting in generalized additive models
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Title not available (Why is that?)
• Selection of estimation window in the presence of breaks
• Fitting a bivariate additive model by local polynomial regression
• Nonparametric transformation to white noise
• Operational time and in-sample density forecasting
• Asymptotics for in-sample density forecasting
• In-sample forecasting applied to reserving and mesothelioma mortality
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES
• Identification and forecasting in mortality models
• A comparison of in-sample forecasting methods
• Multivariate Boundary Kernels from Local Linear Estimation
• A nonparametric approach to identify age, time, and cohort effects
• Over-Dispersed Age-Period-Cohort Models
• In-sample forecasting with local linear survival densities
• Continuous chain-ladder with paid data
• Specification and structural break tests for additive models with applications to realized variance data
• Title not available (Why is that?)

Cited In (3)

• Asymptotics for in-sample density forecasting
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Modeling Time Series With Calendar Variation

Uses Software

• apc

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