Abstract
Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated x/~-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated v~-consistently if a Markov type property holds for the high quality marker.
Volume
30:2
Page
295-303
Year
2000
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Asset Liability Management (ALM);
Financial and Statistical Methods
Statistical Models and Methods
Data Diagnostics
Financial and Statistical Methods
Statistical Models and Methods
Data Mining
Financial and Statistical Methods
Statistical Models and Methods
Nonparametric Methods
Publications
ASTIN Bulletin
