Calendar effect and in-sample forecasting
The authors consider a generalization of the chain ladder methodology. Instead of the assumption $f(x,y) = h(x) g(y)$ the authors introduce an extended version based on the density $f(x,y) = h(x) g(y) k(x+y)$ with a so called calendar effect $k$. Two main examples are outstanding liabilities in insurance ($x$ time point of claims, $y$ time delay up to reporting the claim) and fertility analysis ($x$ birth date of the mother, $y$ age of the mother at time of birth of a child). In section 2 the authors give conditions such that $h,g,k$ are uniquely determined, section 3 describes the estimation procedure, section 4 the forecasting method (by extrapolating the function $k$), section 5 contains 3 theorems of theoretical properties of the estimators. Section 6 contains case studies of the two main examples: Claims from motor business in Cyprus and analysis of fertility rates with data from Italy and US. The final section 7 contains simulation results.
- 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
- scientific article; zbMATH DE number 3892029 (Why is no real title available?)
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- 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
- Asymptotics for in-sample density forecasting
- A comparison of in-sample forecasting methods
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Modeling Time Series With Calendar Variation
- In-sample forecasting with local linear survival densities
- Super-efficient estimation of future conditional hazards based on time-homogeneous high-quality marker information
- Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle
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