Bookcover of Regression modeling of competing risks
Booktitle:

Regression modeling of competing risks

Applications to bone marrow transplantation studies and mortgage prepayment and default analysis

VDM Verlag Dr. Müller (2011-03-27 )

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ISBN-13:

978-3-639-34319-9

ISBN-10:
3639343190
EAN:
9783639343199
Book language:
English
Blurb/Shorttext:
Competing risks frequently arise in medical applications when the subject under study may fail from more than one cause. Typically, regression models for competing risks are based on cause-specific hazards. However, the cause-specific hazard model does not give a direct interpretation in terms of the marginal survival probability of a particular failure type. In the first part of this thesis, an iterative maximum likelihood method was proposed to directly model the cumulative incidence function. Competing risks also arise in mortgage data, which involves two mutually exclusive endpoints, prepayment and default. A quantitative model to accurately predict the mortgage prepayment and default rates based on the loan level information and the state of the economy is therefore very important for both risk management and pricing mortgage-backed securities. In the second part of this thesis, we propose a neural network model to model the prepayment and default probabilities.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Yuxue Jin
Number of pages:
120
Published at:
2011-03-27
Stock:
Available
Category:
Theory of probability, stochastics, mathematical statistics
Price:
49.00 €
Keywords:
Competing risks, cumulative incidence function, iterative maximum likelilhood, Cox Proportional Hazard, proportional subdistribution hazard, subprime mortage, prepayment, default, Neural Networks, bone marrow transplantation

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