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
In this paper we provide a new nonparametric estimator of the joint distribution of two lifetimes under random right censoring and left truncation which can be seen as a bivariate extension of the Kaplan–Meier estimator. We derive asymptotic results for this estimator, including uniform n1/2-consistency, and develop a general methodology for bivariate lifetime modeling, a critical issue in studying reversion conditions that are commonplace in defined benefit pensions and private annuity contracts. An application to goodness-of-fit for survival copula models is discussed. We show that the procedures that we use are consistent, and propose a bootstrap procedure based on our estimator to compute the critical values. The new technique that we propose is tested on the Canadian dataset initially studied by Frees et al. (1996).
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 51 (2012)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/inca/505554|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- César Sánchez Sellero & Wenceslao González Manteiga & Ingrid Keilegom, 2005. "Uniform Representation of Product-Limit Integrals with Applications," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 563-581.
- Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366.
- Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008.
"Modelling stochastic mortality for dependent lives,"
Insurance: Mathematics and Economics,
Elsevier, vol. 43(2), pages 234-244, October.
- Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto.
- Ross L. Prentice & F. Zoe Moodie & Jianrong Wu, 2004. "Hazard-based nonparametric survivor function estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 305-319.
- Michael G. Akritas & Ingrid Van Keilegom, 2003. "Estimation of bivariate and marginal distributions with censored data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 457-471. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:51:y:2012:i:3:p:505-516. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.