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

Di Kuang, Department of Statistics, University of Oxford
B. Nielsen, Nuffield College
J.P. Nielsen, Cass Business School, City University 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.

16 Jun 2008