Template-type: ReDIF-Paper 1.0
Author-Name: Di Kuang
Author-Workplace-Name: Dept of Statistics, University of Oxford
Author-Name: Bent Nielsen
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford University
Author-Name: J. P. Nielsen
Author-Workplace-Name: Cass Business School, City University London
Title: Identification of the age-period-cohort model and the extended chain ladder model
Abstract: In this paper, we consider the identification problem arising in the age-period-cohort models,
as well as in the extended chain ladder model. We propose a canonical parametrization based on the 
accelerations of the trends in the three factors. This parametrization is exactly identified. It eases 
interpretation, estimation and forecasting. The canonical parametrization is shown to apply for a class 
of index sets which have trapezoid shapes, including various Lexis diagrams and the insurance reserving 
triangles.
Length: 14 pages
Creation-Date: 2007-20-11
Number: 2007-W05
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2007/w5/KuangNielsenNielsen07.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0705