A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models
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DOI: 10.1016/j.insmatheco.2012.07.009
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- Jackson P. Lautier & Vladimir Pozdnyakov & Jun Yan, 2022. "Pricing Time-to-Event Contingent Cash Flows: A Discrete-Time Survival Analysis Approach," Papers 2201.04981, arXiv.org, revised Jan 2023.
- Souto Arias, Luis A. & Cirillo, Pasquale, 2021. "Joint and survivor annuity valuation with a bivariate reinforced urn process," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 174-189.
- Lopez, Olivier, 2019. "A censored copula model for micro-level claim reserving," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 1-14.
- Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
- Gribkova, Svetlana & Lopez, Olivier & Saint-Pierre, Philippe, 2013. "A simplified model for studying bivariate mortality under right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 181-192.
- Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat, 2013. "A nonparametric approach to calculating value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 255-262.
- Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
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Keywords
Kaplan–Meier estimator; Bivariate censoring; Left-truncation; Mortality analysis; Lifetime analysis; Nonparametric estimation; Copula models; Bootstrap;All these keywords.
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