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).
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Volume (Year): 51 (2012)
Issue (Month): 3 ()
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Insurance: Mathematics and Economics,
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- Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto.
- 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).
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