✦ LIBER ✦

092008 (M10) An actuarial survey of statistical models for decrement and transition data II: Competing risks, non-parametric and regression models : MacDonald A.S., British Actuarial Journal, Nr. 2, 1996, pp.429–448

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 89 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80631-2

No coin nor oath required. For personal study only.

✦ Synopsis

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 eduction is discussed.

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092006 (M10) An actuarial survey of statistical models for decrement and transition data, III: Counting process models : MacDonald A.S., British Actuarial Journal, Nr. 2, 1996, 703–726

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 174 KB

This is an expository presentation of various topics in insurance mathematics. The scope is not encyclopedic but rather narrows down the treatment to models and methods are (or could be) used to solve practical actuarial problems: what is an appropriate premium, what is an adequate reserve, what par