1,313 research outputs found
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Modelling the joint distribution of competing risks survival times using copula functions
The problem of modelling the joint distribution of survival times in a competing risks model, using copula functions is considered. In order to evaluate this joint distribution and the related overall survival function, a system of non-linear differential equations is solved, which relates the crude and net survival functions of the modelled competing risks, through the copula. A similar approach to modelling dependent multiple decrements was applied by Carriere (1994) who used a Gaussian copula applied to an incomplete double decrement model which makes it difficult to calculate any actuarial functions and draw relevant conclusions. Here, we extend this methodology by studying the effect of complete and partial elimination of up to four competing risks on the overall survival function, the life expectancy and life annuity values. We further investigate how different choices of the copula function affect the resulting joint distribution of survival times and in particular the actuarial functions which are of importance in pricing life insurance and annuity products. For illustrative purposes, we have used a real data set and used extrapolation to prepare a complete multiple decrement model up to age 120. Extensive numerical results illustrate the sensitivity of the model with respect to the choice ofcopula and its parameter(s)
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Automatic, computer aided geometric design of free-knot, regression splines
A new algorithm for Computer Aided Geometric Design of least squares (LS) splines with variable knots, named GeDS, is presented. It is based on interpreting functional spline regression as a parametric B-spline curve, and on using the shape preserving property of its control polygon. The GeDS algorithm includes two major stages. For the first stage, an automatic adaptive, knot location algorithm is developed. By adding knots, one at a time, it sequentially "breaks" a straight line segment into pieces in order to construct a linear LS B-spline fit, which captures the "shape" of the data. A stopping rule is applied which avoids both over and under fitting and selects the number of knots for the second stage of GeDS, in which smoother, higher order (quadratic, cubic, etc.) fits are generated. The knots appropriate for the second stage are determined, according to a new knot location method, called the averaging method. It approximately preserves the linear precision property of B-spline curves and allows the attachment of smooth higher order LS B-spline fits to a control polygon, so that the shape of the linear polygon of stage one is followed. The GeDS method produces simultaneously linear, quadratic, cubic (and possibly higher order) spline fits with one and the same number of B-spline regression functions. The GeDS algorithm is very fast, since no deterministic or stochastic knot insertion/deletion and relocation search strategies are involved, neither in the first nor the second stage. Extensive numerical examples are provided, illustrating the performance of GeDS and the quality of the resulting LS spline fits. The GeDS procedure is compared with other existing variable knot spline methods and smoothing techniques, such as SARS, HAS, MDL, AGS methods and is shown to produce models with fewer parameters but with similar goodness of fit characteristics, and visual quality
Two-Body Density Matrix for Closed s-d Shell Nuclei
The two-body density matrix for and within the
Low-order approximation of the Jastrow correlation method is considered. Closed
analytical expressions for the two-body density matrix, the center of mass and
relative local densities and momentum distributions are presented. The effects
of the short-range correlations on the two-body nuclear characteristics are
investigated.Comment: 13 pages(LaTeX), 4 figures (ps
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Computing the Kolmogorov-Smirnov Distribution when the Underlying cdf is Purely Discrete, Mixed or Continuous
The distribution of the Kolmogorov-Smirnov (K-S) test statistic has been widely studied under the assumption that the underlying theoretical cdf, F(x), is continuous. However, there are many real-life applications in which fitting discrete or mixed distributions is required. Nevertheless, due to inherent difficulties, the distribution of the K-S statistic when F(x) has jump discontinuities has been studied to a much lesser extent and no exact and efficient computational methods have been proposed in the literature. In this paper, we provide a fast and accurate method to compute the (complementary) cdf of the K-S statistic when F(x) is discontinuous, and thus obtain exact p values of the K-S test. Our approach is to express the complementary cdf through the rectangle probability for uniform order statistics, and to compute it using Fast Fourier Transform(FFT). Secondly, we provide a C++ and an R implementation of the proposed method, which fills in the existing gap in statistical software. We give also a useful extension of the Schmid’s asymptotic formula for the distribution of the K-S statistic, relaxing his requirement for F(x) to be increasing between jumps and thus allowing for any general mixed or purely discrete F(x). The numerical performance of the proposed FFT-based method, implemented both in C++ and in the R package KSgeneral, is illustrated when F(x) is mixed, purely discrete, and continuous. The performance of the general asymptotic formula is also studied
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On the evaluation of finite-time ruin probabilities in a dependent risk model
This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability obtained by Ignatovand Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and efficient algorithms for computing ruin probability with prescribed accuracy are presented. Extensive numerical comparisons and examples are provided
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Dependent competing risks: Cause elimination and its impact on survival
The dependent competing risks model of human mortality is considered, assuming that the dependence between lifetimes is modelled by a multivariate copula function. The effect on the overall survival of removing one or more causes of death is explored under two alternative definitions of removal, ignoring the causes and eliminating them. Under the two definitions of removal, expressions for the overall survival functions in terms of the specified copula (density) and the net (marginal) survival functions are given. The net survival functions are obtained as a solution to a system of non-linear differential equations, which relates them through the specified copula (derivatives) to the crude (sub-) survival functions, estimated from data. The overall survival functions in a model with four competing risks, cancer, cardiovascular diseases, respiratory diseases and all other causes grouped together, have been implemented and evaluated, based on cause-specific mortality data for England and Wales published by the Office for National Statistics, for the year 2007. We show that the two alternative definitions of removal of a cause of death have different effects on the overall survival and in particular on the life expectancy at birth and at age 65, when one, two or three of the competing causes are removed. An important conclusion is that the eliminating definition is better suited for practical use in competing risks’ applications, since it is more intuitive, and it suffices to consider only positive dependence between the lifetimes which is not the case under the alternative ignoring definition
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On finite-time ruin probabilities in a generalized dual risk model with dependence
In this paper, we study the finite-time ruin probability in a reasonably generalized dual risK model, where we assume any non-negative non-decreasing cumulative operational cost function and arbitrary capital gains arrival process. Establishing an enlightening link between this dual risk model and its corresponding insurance risk model, explicit expressions for the finite-time survival probability in the dual risk model are obtained under various general assumptions for the distribution of the capital gains. In order to make the model more realistic and general, different dependence structures among capital gains and inter-arrival times and between both are also introduced and corresponding ruin probability expressions are also given. The concept of alarm time, as introduced in Das and Kratz (2012), is applied to the dual risk model within the context of risk capital allocation. Extensive numerical illustrations are provided
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Improved estimation of mortality and life expectancy for each constituent country of the UK and beyond
Graduated period life tables for men and women, based on the mortality experience of the population of England and Wales, have been published by the Office for National Statistics (ONS) using data from the 2001 Census. These tables are the sixteenth in a series known as the English Life Tables which are associated with decennial population censuses, beginning with the Census of 1841. Errors in crude census data owing to the small numbers of deaths involved, particularly in childhood and at very advanced ages, can be reduced by a statistical process of smoothing. A smoothing methodology developed at Cass Business School, City University London has been used in the latest ONS Decennial Life Tables. The tables show the increasing longevity of the population of England and Wales over a long period. The impact of this research is broad as life tables are used extensively in pensions planning, demography, insurance, economics and medicine. Life tables using this statistical smoothing methodology have also been prepared for Scotland, Northern Ireland, the Republic of Ireland and Canad
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GeD spline estimation of multivariate Archimedean copulas
A new multivariate Archimedean copula estimation method is proposed in a non-parametric setting. The method uses the so-called Geometrically Designed splines (GeD splines) to represent the cdf of a random variable Wθ, obtained through the probability integral transform of an Archimedean copula with parameter θ. Sufficient conditions for the GeD spline estimator to possess the properties of the underlying theoretical cdf, K(θ,t), of Wθ, are given. The latter conditions allow for defining a three-step estimation procedure for solving the resulting non-linear regression problem with linear inequality constraints. In the proposed procedure, finding the number and location of the knots and the coefficients of the unconstrained GeD spline estimator and solving the constraint least-squares optimisation problem are separated. Thus, the resulting spline estimator View the MathML source is used to recover the generator and the related Archimedean copula by solving an ordinary differential equation. The proposed method is truly multivariate, it brings about numerical efficiency and as a result can be applied with large volumes of data and for dimensions d≥2, as illustrated by the numerical examples presented
Advances in surface EMG signal simulation with analytical and numerical descriptions of the volume conductor
Surface electromyographic (EMG) signal modeling is important for signal interpretation, testing of processing algorithms, detection system design, and didactic purposes. Various surface EMG signal models have been proposed in the literature. In this study we focus on 1) the proposal of a method for modeling surface EMG signals by either analytical or numerical descriptions of the volume conductor for space-invariant systems, and 2) the development of advanced models of the volume conductor by numerical approaches, accurately describing not only the volume conductor geometry, as mainly done in the past, but also the conductivity tensor of the muscle tissue. For volume conductors that are space-invariant in the direction of source propagation, the surface potentials generated by any source can be computed by one-dimensional convolutions, once the volume conductor transfer function is derived (analytically or numerically). Conversely, more complex volume conductors require a complete numerical approach. In a numerical approach, the conductivity tensor of the muscle tissue should be matched with the fiber orientation. In some cases (e.g., multi-pinnate muscles) accurate description of the conductivity tensor may be very complex. A method for relating the conductivity tensor of the muscle tissue, to be used in a numerical approach, to the curve describing the muscle fibers is presented and applied to representatively investigate a bi-pinnate muscle with rectilinear and curvilinear fibers. The study thus propose an approach for surface EMG signal simulation in space invariant systems as well as new models of the volume conductor using numerical methods
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