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22 p, 227.7 KB A nonparametric visual test of mixed hazard models / Spreeuw, Jaap (City University London. Faculty of Actuarial Science and Insurance, Cass Business School) ; Perch Nielsen, Jens (City University London. Faculty of Actuarial Science and Insurance, Cass Business School) ; Fiig Jarner, Søren (Danish Labour Market Supplementary Pension Fund)
We consider mixed hazard models and introduce a new visual inspection technique capable of detecting the credibility of our model assumptions. Our technique is based on a transformed data approach, where the density of the transformed data should be close to the uniform distribution when our model assumptions are correct. [...]
2013
SORT : statistics and operations research transactions, Vol. 37, Núm. 2 (July-December 2013) , p. 153-174  
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