A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models

Olivier Lopez

Insurance: Mathematics and Economics, 2012, vol. 51, issue 3, 505-516

Abstract: In this paper we provide a new nonparametric estimator of the joint distribution of two lifetimes under random right censoring and left truncation which can be seen as a bivariate extension of the Kaplan–Meier estimator. We derive asymptotic results for this estimator, including uniform n1/2-consistency, and develop a general methodology for bivariate lifetime modeling, a critical issue in studying reversion conditions that are commonplace in defined benefit pensions and private annuity contracts. An application to goodness-of-fit for survival copula models is discussed. We show that the procedures that we use are consistent, and propose a bootstrap procedure based on our estimator to compute the critical values. The new technique that we propose is tested on the Canadian dataset initially studied by Frees et al. (1996).

Keywords: Kaplan–Meier estimator; Bivariate censoring; Left-truncation; Mortality analysis; Lifetime analysis; Nonparametric estimation; Copula models; Bootstrap (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:3:p:505-516

DOI: 10.1016/j.insmatheco.2012.07.009

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