Identification of the age-period-cohort model and the extended chain ladder model
نویسنده
چکیده
In this paper, we consider the identification problem arising in the ageperiod-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. Some key words: Age-period-cohort model; Chain-ladder model; Identification.
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