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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: a.s.macdonald@ma.hw.ac.uk
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Abstract

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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.

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

References

REFERENCES

References were given in part I.Google Scholar