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

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 sem...

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Bibliographic Details
Published inBritish Actuarial Journal Vol. 2; no. 3; pp. 703 - 726
Main Author Macdonald, A.S.
Format Journal Article
LanguageEnglish
Published Cambridge, UK Cambridge University Press 01.08.1996
Institute of Actuaries and the Faculty of Actuaries
Subjects
Censorship
Determinism
Kaplan Meier estimator
Martingales
Modeling
Poisson process
Random variables
Sessional meetings: papers and abstracts of discussions
Statistical models
Stochastic models
Stochastic processes
Censoring
Kaplan-Meier Estimate
Survival Analysis
Multiple State Models
Counting Processes
Compensators
Martingales
Nelson-Aalen Estimate
Partial Likelihood
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Summary: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.
ISSN:1357-3217
2044-0456
1748-5002
DOI:10.1017/S1357321700003524