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

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  • Macdonald, A.S.

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.

Suggested Citation

  • Macdonald, A.S., 1996. "An Actuarial Survey of Statistical Models for Decrement and Transition Data, III. Counting Process Models," British Actuarial Journal, Cambridge University Press, vol. 2(3), pages 703-726, August.
    • Handle: RePEc:cup:bracjl:v:2:y:1996:i:03:p:703-726_00
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    Cited by:

    1. M. Moghadam, 2013. "Extended risk classification in insurance industry," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(3), pages 1385-1396, April.
    2. Felipe, Angie & Guillen, Montserrat & Nielsen, Jens Perch, 2001. "Longevity studies based on kernel hazard estimation," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 191-204, April.
    3. Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S., 2020. "A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 68-84.
    4. Gurprit Grover & *Parmeet Kumar Vinit & V. K. Sehgal, 2021. "Estimation of premium cost for HIV/AIDS patients under ART," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 12(1), pages 77-83, February.

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