SC-CR Algorithms with informative masking

Peter Adamic and Sylvain Caron

Scandinavian Actuarial Journal, 2014, vol. 2014, issue 4, 339-351

Abstract: In this article, we present a significant improvement to the Self-Consistent, Competing Risks (SC-CR) Algorithms that have been published in the actuarial literature over the last several years. These algorithms were fairly flexible, admitting of any combination of partially masked risks and interval-censored failure times. However, we wish to show here that the SC-CR Algorithm can be further generalized to allow for each specific decrement to have its own distinct interval-censored range for any given individual observation. We have chosen to refer to this dynamic as ‘informative masking’ since additional information regarding the masking sets will be allowed to be incorporated. The enhancements will be applied to both the double-censored as well as interval-censored SC-CR Algorithms. Numerical examples that illustrate the usefulness of these enhancements will also be furnished.

Date: 2014
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DOI: 10.1080/03461238.2012.693457

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