Hostname: page-component-cd9895bd7-fscjk Total loading time: 0 Render date: 2024-12-18T02:21:33.950Z Has data issue: false hasContentIssue false
  • English
  • Français

An Actuarial Survey of Statistical Models for Decrement and Transition Data, III. Counting Process Models

Published online by Cambridge University Press:  10 June 2011

A.S. Macdonald
A.S. Macdonald
Affiliation:
Department of Actuarial Maths & Stats, Heriot-Watt University, Edinburgh, EH14 4AS, U.K. Tel: +44 (0)131 451 3202; Fax: +44 (0)131 451 3249; E-mail: [email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

Counting processes and their compensators are introduced at a heuristic level. The martingale property of stochastic integrals with respect to a compensated counting process leads to moment estimates and asymptotic normal distributions for statistics arising in multiple state, non-parametric and semi-parametric models. The place of survival models in actuarial education is discussed.

Keywords

CensoringCompensatorsCounting ProcessesKaplan-Meier EstimateMartingalesMultiple State ModelsNelson-Aalen EstimatePartial LikelihoodSurvival Analysis
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 2 , Issue 3 , 01 August 1996 , pp. 703 - 726
Copyright
Copyright © Institute and Faculty of Actuaries 1996

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

References were given in part I.Google Scholar