Survival Analysis: Theory and Application in Finance

Feng Gao and Xiaomin He

Chapter 120 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 4087-4118 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter outlines some commonly used statistical methods for studying the occurrence and timing of events, i.e., survival analysis. It is also called duration analysis or transition analysis in econometrics. Statistical methods for survival data usually include non-parametric method, parametric method and semiparametric method. While some non-parametric estimators (e.g., the Kaplan–Meier estimator and life-table estimator) estimate survivor functions, others (e.g., the Nelson–Aalen estimator) estimate the cumulative hazard function. The commonly used non-parametric test for comparing survivor functions is the log-rank test. Parametric models such as the exponential model, Weibull model, and the generalized Gamma model, etc., are based on different assumptions of survival time. Semiparametric regression models are also called the Cox proportional hazards (PH) model, which is estimated by the method of partial likelihood and do not require the assumption of survival time. Other applications of discrete time data and the competing risks model are also introduced.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811202391_0120 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811202391_0120 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811202391_0120

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().