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Survival Analysis
Kaplan-Meier estimation, Cox regression, hazard functions, and censoring.
Survival analysis deals with time-to-event data, which is common in insurance (time to claim, time to death, time to policy lapse). These methods handle censored and truncated data that standard statistical techniques cannot.
Key Concepts
- •Survival function: S(t) = P(T > t) and its properties
- •Hazard function: h(t) = f(t)/S(t), the instantaneous failure rate
- •Cumulative hazard: H(t) = -ln(S(t))
- •Kaplan-Meier estimator: nonparametric survival curve estimation
- •Nelson-Aalen estimator: nonparametric cumulative hazard estimation
- •Log-rank test: comparing survival curves between groups
- •Cox proportional hazards model: semiparametric regression for survival data
- •Parametric survival models: exponential, Weibull, and log-logistic
- •Censoring types: right, left, and interval censoring
- •Truncation: left truncation (delayed entry) and its effect on estimation
Study Tips
- 1.Practice constructing Kaplan-Meier curves step by step with small datasets.
- 2.Understand the difference between censoring and truncation.
- 3.Learn to interpret hazard ratios from Cox regression models.
- 4.Work through parametric survival model fitting using maximum likelihood.
- 5.Practice problems involving both censored and truncated observations.
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