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An Actuarial Survey of Statistical Models for Decrement and Transition Data, II. Competing Risks, Non-Parametric and Regression Models
A.S. Macdonald
Journal:

British Actuarial Journal / Volume 2 / Issue 2 / 01 June 1996

Published online by Cambridge University Press:

10 June 2011, pp. 429-448
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This paper surveys some statistical models of survival data. Competing risks models are described; the unidentifiability of net decrements suggests a sceptical approach to the use of underlying single decrement tables. Approaches based on observations of complete lifetimes (with censoring) are surveyed including the Kaplan-Meier and Nelson-Aalen estimates. Regression models for lifetimes depending on covariates are discussed, in particular the Cox model and partial likelihood estimation.

An Actuarial Survey of Statistical Models for Decrement and Transition Data, III. Counting Process Models
A.S. Macdonald
Journal:

British Actuarial Journal / Volume 2 / Issue 3 / 01 August 1996

Published online by Cambridge University Press:

10 June 2011, pp. 703-726
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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.

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2 results

An Actuarial Survey of Statistical Models for Decrement and Transition Data, II. Competing Risks, Non-Parametric and Regression Models

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