Parametric Bootstrap Estimation of Standard Errors in Survival Models When Covariates are Missing

Francesco Ungolo (), Torsten Kleinow () and Angus S. Macdonald ()
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Francesco Ungolo: Technische Universität München
Torsten Kleinow: Heriot-Watt University and Maxwell Institute of Mathematical Sciences
Angus S. Macdonald: Heriot-Watt University and Maxwell Institute of Mathematical Sciences

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 389-394 from Springer

Abstract: Abstract We propose and analyze parametric bootstrapping for estimating the standard error of the parameter estimates of regression models for the mortality hazard function, in a survival model when covariates on individual lives are missing at random. Using an example based on UK pension scheme members, we describe the methodology and its impact on the mis-estimation risk capital requirement.

Keywords: Survival Models; Parametric Bootstrap; Missing Covariates (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_57

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DOI: 10.1007/978-3-030-78965-7_57

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