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On the estimation of bivariate conditional transition rates

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  • Theis Bathke

Abstract

Recent literature has found conditional transition rates to be a useful tool for avoiding Markov assumptions in multi-state models. While the estimation of univariate conditional transition rates has been extensively studied, the intertemporal dependencies captured in the bivariate conditional transition rates still require a consistent estimator. We provide an estimator that is suitable for censored data and emphasiz e the connection to the rich theory of the estimation of bivariate survival functions. Bivariate conditional transition rates are necessary for various applications in the survival context but especially in the calculation of moments in life insurance mathematics.

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  • Theis Bathke, 2025. "On the estimation of bivariate conditional transition rates," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2025(3), pages 340-366, March.
    • Handle: RePEc:taf:sactxx:v:2025:y:2025:i:3:p:340-366
    DOI: 10.1080/03461238.2024.2420067
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