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A comparison of in-sample forecasting methods

Author:
Bischofberger, Stephan M., Hiabu, Munir, Mammen, Enno, Nielsen, Jens Perch
Source:
Computational statistics & data analysis 2019 v.137 pp. 133-154
ISSN:
0167-9473
Subject:
demography, epidemiology, insurance, mathematical theory, models, sociology
Abstract:
In-sample forecasting is a recent continuous modification of well-known forecasting methods based on aggregated data. These aggregated methods are known as age-cohort methods in demography, economics, epidemiology and sociology and as chain ladder in non-life insurance. Data is organized in a two-way table with age and cohort as indices, but without measures of exposure. It has recently been established that such structured forecasting methods based on aggregated data can be interpreted as structured histogram estimators. Continuous in-sample forecasting transfers these classical forecasting models into a modern statistical world including smoothing methodology that is more efficient than smoothing via histograms. All in-sample forecasting estimators are collected and their performance is compared via a finite sample simulation study. All methods are extended via multiplicative bias correction. Asymptotic theory is being developed for the histogram-type method of sieves and for the multiplicatively corrected estimators. The multiplicative bias corrected estimators improve all other known in-sample forecasters in the simulation study. The density projection approach seems to have the best performance with forecasting based on survival densities being the runner-up.
Agid:
6333512