"Forecasting with the age-period-cohort model and the extended chain-ladder model"

D. Kuang
	Department of Statistics, University of Oxford, Oxford 
B. Nielsen
	Nuffield College, Oxford
J.P. Nielsen
	Cass Business School, City University London, 106 Bunhill Row, London
	
Abstract

We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model. 
The parameters of these models are known only to be identified up to linear trends. Forecasts from such models 
may therefore depend on arbitrary linear trends. A condition for invariant forecasts is proposed. A number of 
standard forecast models are analysed.

Some key words: Age-period-cohort model; Chain-ladder model; Forecasting; Identification.