Product Limit Estimator

Product-Limit and
Nelson-Åalen Estimators
Abraham Weishaus
Oct. 17–26, 2016
Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 1/71
Outline
Estimators for Incomplete Data

Product-Limit (Kaplan-Meier) Estimator
Nelson-Åalen Estimator
Greenwood and Åalen Variance

Variance Formulas
Confidence Intervals
Mortality Table Construction

Individual Data
Interval-Based Data
New Section: Estimators for Incomplete Data


New Subsection: Product-Limit (Kaplan-Meier)
Estimator

Illustrative Example Solution to Illustrative Example
Example y r s Ŝ(y )
An 11-year mortality study on a group of 10 men age 80 re- 9

3 10 1 10
= 0.9
sults in the following survival times:
9 6
6 8 2 10
= 27
8 40
= 0.675
3 6 6 9 10
27 4 27
9 5 1 40 5
= 50 = 0.54
In addition, one man apiece leaves the study at times 4 and 27 3 81
= 200 = 0.405

8. The other 3 survive to the end. 10 4 1 50 4
Calculate the product-limit estimator of the survival func- Ŝ(6) = 0.675

tion. In particular, calculate
Pr(X
c > 5) = 0.9
1. Ŝ(6) 3. Pr(X
c < 9) Pr(X
c < 9) = 1 − 0.675 = 0.325
2. Pr(X
c > 5) c < X < 9)
4. Pr(3 c < X < 9) =
Pr(3 0.9 − 0.675 = 0.225
Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 5/71 Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 6/71
Ties and New Entrants
Example
You are given the results of a study as shown to
the right. d  
Calculate Ŝ(7) using the Kaplan-Meier product 0 — 5
limit estimator. 0 2 —
0 — 2
y r s Ŝ(y ) 0 — 4
5 1 5 —
2 6 1 6 1 — 6
5 3 7 —
5 4 1 8 5 — 7
7 2 1 5 7 — 8
16
5
16
= 0.3125

Extrapolation
Example
An 11-year mortality study on a group of 10 men age 80 re-
3 6 6 9 10
In addition, one man apiece leaves the study at times 4 and

8. The other 3 survive to the end.
Using the product-limit estimator with exponential extrap-
olation, estimate Ŝ(15).
0.40515/ 11 = 0.2915
Limited Expected Value
Example
3 6 6 9 10

8. The other 3 survive to the end.
Using the product-limit estimator, estimate E[X ∧ 8].
3 + 0.9(3) + 0.675(2) = 7.05
Kaplan-Meier Recursion Solution to Recursion Example
Example
In a mortality study: 0.9204 1
=1−
0.9330 r13
(i) There were 80 individuals in the study at time 12.
1
(ii) There was 1 death at time 13, and no other deaths in = 0.013514
the interval [12, 13). r13
(iii) Ŝ(12) = 0.9330, Ŝ(13) = 0.9204 using the Kaplan- r13 = 74
Meier product limit estimator. Censored = 80 − 74 = 6
Determine the number of lives censored in the time inter-
val [12, 13).
Product-Limit Example
Version of 4-S01:4
The following are observation times:
1 2 3 4 5
Four of them are event times, one of them is a censoring

time.
If S(4) is estimated with the product-limit estimator, which
censoring time leads to
1. The largest value of Ŝ(4)?

2. The smallest value of Ŝ(4)?
Product-Limit Example: Triangle Solution to Triangle Example
Submitted Claims settled in Not settled

Example in 2004 2005 2006 2007 by 2007 Total
In a time-to-claim-settlement study, you have the following 2004 25 8 5 1 1 40
2005 26 10 8 6 50
data:
2006 35 22 23 80
Submitted Claims settled in Not settled 2007 51 39 90
in 2004 2005 2006 2007 by 2007 Total
2004 25 8 5 1 1 40 y r s
2005 26 10 8 6 50 0 260 137
2006 35 22 23 80 1 84 40
2007 51 39 90
123 44

Determine the product-limit estimate of a claim being set- Ŝ(2) = = 0.2478
260 84
tled by the end of the calendar year following the year of
submission. The answer is 1 − 0.2478 = 0.7522 .
New Subsection: Nelson-Åalen Estimator


Example
An 11-year mortality study on a group of 10 men age 80 re- y r s Ĥ(y )
1
sults in the following survival times: 3 10 1 10
= 0.1
1 2
3 6 6 9 10 6 8 2 10
+ 8
= 0.35
1
In addition, one man apiece leaves the study at times 4 and 9 5 1 0.35 + 5
= 0.55
8. The other 3 survive to the end. 1
10 4 1 0.55 + 4
= 0.80
Calculate the Nelson-Åalen estimator of the cumulative
hazard rate function. In particular, calculate Ĥ(6) = 0.35
1. Ĥ(6) Ŝ(8) = e−0.35 = 0.7047
Pr(X < 9) = 1 − e−0.35 = 0.2953
c
2. Ŝ(8)
3. Pr(X
c < 9)
Nelson-Åalen with Complete Data

Example
Scores in a basketball game for four quarters are as follows:
1 2 3 4
Team 1 31 27 28 32
Team 2 29 38 27 30
Assume the two teams have the same distribution of scores.
Using the Nelson-Åalen estimator, calculate the probability
that a team will score more than 30 in a quarter.
2 1 1 1
Ĥ(30) = + + + = 0.86667
8 6 5 4
−0.86667
Ŝ(30) = e = 0.4204
Nelson-Åalen with Incomplete Data

Example
Scores in a basketball game for four quarters are as follows:
1 2 3 4
Team 1 31 27 28 ??
Team 2 29 38 27 ??
It is also known that the first team scored more than 30 in
the fourth quarter.
Assume the two teams have the same distribution of scores.
Using the Nelson-Åalen estimator, calculate the probability
that a team will score more than 31 in a quarter.
2 1 1 1
Ĥ(31) = + + + = 1.23571
7 5 4 2
−1.23571
Ŝ(31) = e = 0.2906

Kaplan-Meier & Nelson-Åalen Solution to KM/NA Example
Example
You are given the following data for a study:
180

145

110

S1 (3) = = 0.6032
y r s 200 170 140
1 200 20 20 25 30
2 170 25 H2 (3) = + + = 0.461345
3 140 30 200 170 140
−0.461345
S2 (3) = e = 0.6304
S1 (3) is the Kaplan-Meier estimate. S2 (3) is the Nelson-
Åalen estimate. 0.6032 − 0.6304 = −0.0272
Calculate S1 (3) − S2 (3).
Nelson-Åalen Backing Out Example Solution to H(y3 ) → H(y5 ) Example
Example 3
≈ 0.1582
In a mortality study, you are given that deaths occur one at n−1
a time and there are no withdrawals. Using the Nelson-Åalen 3
estimator, Ĥ(y3 ) = 0.1582. n−1≈ = 18.96 ⇒ n = 20
0.1582
Calculate Ĥ(y5 ). 1 1
Ĥ(y5 ) = 0.1582 + + = 0.2795
17 16
Application to Loss Sizes Solution to Loss Size Example

Example
An insurance company sells insurance with ordinary deductibles
of 500 and 1000 and maximum covered claims of 5000 and
10,000.
yj rj sj Ŝ(yj | yj > 500)
You are given the following losses for these coverages: 650 10 1 0.9
Deductible Claims 1000 9 1 0.8
500 650, 1000, 1300, 6000, 8000, three at 1300–2500 18 3 2/3
limit of 5000, two at limit of 10,000
1000 1500, 2500, 5000, 8000, two at limit of The answer is 2/3 .
5000, four at limit of 10,000
The underlying loss distribution is the same for all cover-
ages.
Using the Kaplan-Meier estimator on the combined data,
calculate the probability that a loss on a policy with a de-
ductible of 500 will exceed 3000.
New Section: Greenwood and Åalen Variance

Variance Formulas
New Subsection: Variance Formulas

Variance Formulas
Greenwood Formula and Åalen Formula
Greenwood Approximation
j
X s
Ô Ŝ(yj ) = Ŝ(yj )2

Vr
r (r − s )
=1  
Åalen Variance Formula
j
X s
Ô Ĥ(yj ) =
Vr 2
r
=1 

Example
1 2

Vr Ŝ(6) = 0.6752 + = 0.024047

3 6 6 9 10 (10)(9) (8)(6)
1 2
Vr Ĥ(6) = + 2 = 0.04125

8. The other 3 survive to the end. 102 8
1. Calculate the Greenwood approximation of the variance

of the product-limit estimate Ŝ(6).
2. Calculate the variance of the Nelson-Åalen estimate of
Ĥ(6).
Example of Åalen Variance

4-S01:14
For a mortality study with right-censored data, you are given:
y s r
1 15 100
8 20 65
17 13 40
25 31 31
Calculate the Åalen estimate of the standard deviation of

the Nelson-Åalen estimator of the cumulative hazard func-
tion at time 20.
v
t 15 20 13
u
+ + = 0.119828
1002 652 402
Variance of qj Variance of qj —Solution
Example
yj rj sj
For a mortality study on 10 individuals, death times were
9 8 1
16 5 1
5 9 16 22 25 27
and censored observations occurred at times 7, 10, 14, and Ŝ(20 | X > 5) = 0.7
16. 1 1

Ô Ŝ(20 | X > 5) = 0.72 +

Vr
The probability that an individual dies no later than time (8)(7) (5)(4)
20, given survival to time 5, is estimated using the Kaplan- = 0.03325
Meier estimator to be 0.3.
Calculate the variance of this estimate using the Green-
wood formula.
Recursions Solution to Recursions Example
Example
(i) Ŝ(yj ) is the Kaplan-Meier prod-
s4 0.63
uct limit estimate of the survival =1− = 0.1
function at time yj . r4 0.70
Ô Ĥ(yj ) is the estimated vari- r4 = 10s4

(ii) Vr
Ŝ(yj ) Ô Ĥ(yj )

j Vr s4
ance of the Nelson-Åalen esti-
= 0.0105 − 0.0080 = 0.0025
mate of the cumulative hazard 3 0.70 0.0080 r42
rate function at time yj . 4 0.63 0.0105
1
(iii) Some values for Ŝ(yj ) and = 0.0025
100s4
Ô Ĥ(yj ) are shown to the

Vr 1
right. s4 = = 4
0.25
Determine the number of events at
time y4 .
Backing Out Numbers Solution to Backing Out Numbers Example
Example
A mortality study is conducted 2 3
on 50 lives observed from time 0. Time Deaths Censored + = 0.0027589
You are given the information to 10 2 0 (50)(48) (48 − c18 )(45 − c18 )
the right. You are also given that 18 0 c18 3
using the Greenwood formula, = 0.0019256
24 3 0 (48 − c18 )(45 − c18 )
30 0 4 3
Ô Ŝ(35)
Vr 37 1 0 (48 − c18 )(45 − c18 ) = = 1558
= 0.0027589 0.0019256
Ŝ(35)2
c18 = 7
Determine c18 .
New Subsection: Confidence Intervals

Variance Formulas

Linear Confidence Intervals Solution to C-S05:15
C-S05:15 We have
Twelve policyholders were monitored from the starting date s s
Ĥ(y ) Ô Ĥ(y )

of the policy to the time of first claim. The observed data are y r s Vr
as follows:
r r2
1 12 2 0.166667 0.166667 0.013889 0.013889
Time of First Claim 1 2 3 4 5 6 7 2 10 1 0.100000 0.266667 0.010000 0.023889
Number of Claims 2 1 2 2 1 2 2 3 9 2 0.222222 0.488889 0.024691 0.048580
Using the Nelson-Åalen estimator, calculate the 95% linear 4 7 2 0.285714 0.774603 0.040816 0.089397
confidence interval for the cumulative hazard rate function Then
H(4.5). p
1.96 0.089397 = 0.5860
(A) (0.189, 1.361) (D) (0.283, 1.266) 0.7746 − 0.5860 = 0.1886
(B) (0.206, 1.545) (E) (0.314, 1.437) 0.7746 + 0.5860 = 1.3606 (A)
(C) (0.248, 1.402)
Log-Transformed Confidence Intervals
S()
Confidence interval is (S1/ U , SU ), where
p
Z Vr(S)

U = exp
S ln S
H()
Confidence interval is (H/ U, HU) where
p
Z Vr(H)

U = exp
H
Log-Transformed Confidence Interval for S

Example
A 95% linear confidence interval for S() is given by (0.8108, 0.8892).
Construct a 95% log-transformed confidence interval for
S().
0.8108 + 0.8892
S() = = 0.85
2
Æ
Z Vr(S) = 0.8892 − 0.85 = 0.0392
0.0392

U = exp = exp(−0.28377) = 0.75294
0.85 ln 0.85
(S1/ U , SU ) = (0.851/ 0.75294 , 0.850.75294 ) = (0.8059, 0.8848)
The log transformed interval for S is to the left of the linear

interval.

Log-Transformed Confidence Interval for H
Example
A 95% linear confidence interval for H() is (0.02, 0.06).
Construct a 95% log-transformed confidence interval for
H().
Æ
H() = 0.04 Z Vr(H) = 0.02
0.02

U = exp = exp(0.5) = 1.64872
0.04
(H/ U, HU) = 0.04/ 1.64872, 0.04(1.64872)

= (0.0243, 0.0659)
The log transformed interval for H is to the right of the

original interval.
Going from Log-Transformed to Linear: H Going from Log-Transformed to Linear: H

Solution
H()2 = (0.85)(0.89) = 0.7565

Example
H() = 0.8698
A 95% log-transformed confidence interval for H() is given 0.89
by (0.85, 0.89). U= = 1.0233
0.8698
Construct a 95% linear confidence interval for H(). Æ
Z Vr(H) = H() ln U = (0.8698)(ln 1.0233) = 0.0200
Æ Æ
Vr(H), H + Z Vr(H) = (0.8498, 0.8898)

H−Z
Going from Log-Transformed to Linear: H Solution to 4-F04:12
4-F04:12
The interval (0.357, 0.700) is a 95% log-transformed con-
fidence interval for the cumulative hazard rate function at Æ
time t, where the cumulative hazard rate function is esti- H(t) = (0.357)(0.700) = 0.5
mated using the Nelson-Åalen estimator. S(t) = e −0.5
= 0.6066 (E)
Determine the value of the Nelson-Åalen estimate of S(t).
(A) 0.50 (B) 0.53 (C) 0.56 (D) 0.59 (E) 0.61
Going from Log-Transformed to Linear: S Going from Log-Transformed to Linear: S
Solution
1
ln 0.82 = ln S
U
ln 0.87 = U ln S
Example (ln S)2 = (ln 0.82)(ln 0.87) = 0.027637

ln S = −0.166240 Use negative square root.
A 95% log-transformed confidence interval for S() is (0.82, 0.87).
S = e−0.166240 = 0.846841
Construct a 95% linear confidence interval for S().
−0.166240
U= = 0.837703
ln 0.82
Æ
Z Vr(S) = (ln U)(S ln S)
= (−0.177092)(0.846841)(−0.166240) = 0.024931
Æ Æ
S − Z Vr(S), S + Z Vr(S) = (0.8219, 0.8718)

New Section: Mortality Table Construction

Individual Data
Interval-Based Data
Methods
É Individual data based methods

É Interval based methods
É Exact exposure
É Actuarial exposure

New Subsection: Individual Data

Individual Data
Interval-Based Data
Individual Data Based Methods Individual Data Based Methods

Exact Exposure Exact Exposure Solution
Example
A 3-year mortality study uses records starting on Jan. 1, 2009
and ending on Dec. 31, 2011. For simplicity, assume all events
including births, policy issue, withdrawals, and deaths occur on Exact Exposure in Months
the first day of the month and that a month is 1/12 of a year. Number Age 64 Age 65 Age 66 Age 67
The ending day of the study will be treated as if it is 1/1/2012. 1 2 12 12 2
The following data is recorded for 6 individuals in the study: 2 0 4 12 3
Birth Policy Date of Date of 3 10 12 4 0
Number Date Issue Withdrawal Death 4 12 3 0 0
1 3/1944 5/2004 5/2011 — 5 3 12 4 0
2 10/1944 6/2010 — — 6 0 8 6 0
3 12/1944 2/2009 — 4/2011 Total 27 51 38 5
4 1/1945 12/2008 4/2010 —
5 4/1945 1/2010 — 8/2011
6 7/1945 11/2010 — —
Calculate the total exact exposure for every age that has any
exposure.
Mortality rate formula
Mortality rate using exact exposure method
q̂j = 1 − e−ndj / ej
Example
Calculate q̂66 in the previous example.
q̂66 = 1 − e−2/ (38/ 12) = 0.468248

Individual Data Based Methods Individual Data Based Methods
Actuarial Exposure Actuarial Exposure Solution
Example
including births, policy issue, withdrawals, and deaths occur on Actuarial Exposure in Months
the first day of the month and that a month is 1/12 of a year. Number Age 64 Age 65 Age 66 Age 67
The ending day of the study will be treated as if it is 1/1/2012. 1 2 12 12 2
The following data is recorded for 6 individuals in the study: 2 0 4 12 3
Birth Policy Date of Date of 3 10 12 12 0
Number Date Issue Withdrawal Death 4 12 3 0 0
1 3/1944 5/2004 5/2011 — 5 3 12 12 0
2 10/1944 6/2010 — — 6 0 8 6 0
3 12/1944 2/2009 — 4/2011 Total 27 51 54 5
4 1/1945 12/2008 4/2010 —
5 4/1945 1/2010 — 8/2011
6 7/1945 11/2010 — —
Calculate the total actuarial exposure for every age that has
any exposure.
Mortality rate using actuarial exposure method
ndj
q̂j =
ej
Example
ndj
q̂j =
ej
Example

ndj
q̂j =
ej
Example
2
q̂66 = = 0.444444
(54/ 12)
Insuring Age
Set birth date equal to policy date, using age last birthday or
age nearest birthday.
Example
É Birth date 10/1/1965.

É Policy date 3/1/2011.
Calculate insuring age using age last birthday and age

nearest birthday.
Last birthday is 10/1/2010. Age last birthday is

2010 − 1965 = 45 . Insuring birthday is 3/1/1966.
Nearest birthday is also 10/1/2010.
Insuring age
Example
É Birth date 10/1/1965.

É Policy data 5/1/2011.
Calculate insuring age using age last birthday and age

nearest birthday.
Age last birthday is 45.
Nearest birthday is 10/1/2011. Age nearest birthday is 46 .

Insuring birthday is 3/1/1965.

Individual Data Based Methods Insuring Age Solution
Actuarial Exposure, Insuring Age
Example
including births, policy issue, withdrawals, and deaths occur on Insuring Age 64 Age 64 Months
the first day of the month and that a month is 1/12 of a year. Birth Exposure Exposure of
The ending day of the study will be treated as if it is 1/1/2012. Number Date Begins Ends Exposure
The following data is recorded for 6 individuals in the study: 1 5/1944 1/2009 5/2009 4
2 6/1945 6/2010 6/2010 0
Birth Policy Date of Date of 3 2/1945 2/2009 2/2010 12
Number Date Issue Withdrawal Death
4 12/1945 12/2009 4/2010 4
1 3/1944 5/2004 5/2011 —
5 1/1946 1/2010 1/2011 12
2 10/1944 6/2010 — —
3 12/1944 2/2009 — 4/2011
6 11/1945 11/2010 11/2010 0
4 1/1945 12/2008 4/2010 —
5 4/1945 1/2010 — 8/2011
6 7/1945 11/2010 — —
Calculate the total actuarial exposure for age 64 using age
last birthday.
Anniversary-to-Anniversary Studies
So far, calendar year studies from 1/1/ to 12/31/y.

Anniversary-to-anniversary is from policy anniversaries in 
to policy anniversaries in y.
Anniversary-to-Anniversary Study
Example
Consider a 2009 anniversary to 2011 anniversary-to-anniversary
study. For simplicity, assume all events including births, pol-
icy issue, withdrawals, and deaths occur on the first day of the
month and that a month is 1/12 of a year. The ending day of the
study will be treated as if it is 1/1/2012. The following data is
recorded for 6 individuals in the study:
Birth Policy Date of Date of
Number Date Issue Withdrawal Death
1 3/1944 5/2004 5/2011 —
2 10/1944 6/2010 — —
3 12/1944 2/2009 — 4/2011
4 1/1945 12/2008 4/2010 —
5 4/1945 1/2010 — 8/2011
6 7/1945 11/2010 — —
Calculate the total actuarial exposure for age 65 using age
nearest birthday.
Answer: 52 months
Variance of Estimators
Exact Exposure
Exact Exposure
dj
Ô q̂j ) = (1 − q̂j )2 n2
Vr(
e2j
Example
For age 70, there are 25 years of exact exposure and 2 deaths.
Calculate the variance of the exact exposure estimate.
q̂70 = 1 − e−2/ 25 = 0.076884

2
Ô q̂70 ) = (1 − 0.076884)2
Vr( = 0.002727
252
Variance of Estimators
Actuarial Exposure
Actuarial Exposure
q̂j (1 − q̂j )
Ô q̂j ) =
Vr(
ej / n
Example
For age 70, there are 25 years of actuarial exposure and 2
deaths.
Calculate the variance of the actuarial exposure estimate.
2
q̂70 = = 0.08
25
(0.08)(0.92)
Ô q̂70 ) =
Vr( = 0.002944
25
New Subsection: Interval-Based Data

Individual Data
Interval-Based Data

Notation
For time cj ,
Pj is population at time cj .
nj are entrants in [cj , cj+1 )
j are withdrawals in (cj , cj+1 ]
dj are deaths in (cj , cj+1 ]
Superscript b indicates beginning of period.
Superscript m indicates middle of period.
Superscript e indicates end of period.
Population and Exposure Formulas
Pj = Pj−1 + nm
j−1
m
− dj−1 − j−1 e
− j−1 + nbj
ej = Pj + 0.5(nm
j
− jm − dj ) for exact exposure
ej = Pj + 0.5(nm
j
− jm ) for actuarial exposure
Example of Interval-Based Approximation Solution to Interval-Based Approximation
Example
You perform a mortality study on 950 lives age 45. Addi- j cj Pj nm
j
jm je dj ej p̂j
tional lives enter the study at ages 45 and later. You are given 0 45 950 50 100 0 3 925 922/ 925
the following information from the mortality study:
1 46 897 30 90 0 5 867 862/ 867
j cj nj j dj 2 47 832 40 80 786 6 812 806/ 812
0 45 50 100 3 3 48 0
1 46 30 90 5
2 47 40 80 6 j cj j+1 p̂45
All entries, other than the original 950 lives, and all with- 0 45 922/ 925 = 0.996757
drawals are assumed to occur uniformly throughout each 1 46 0.996757(862/ 867) = 0.991008
year. 2 47 0.991008(806/ 812) = 0.983686
Estimate the probability of survival for an individual age 45
to each of ages 46, 47, 48 using the actuarial method.

Product Limit Estimator

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Product-Limit and

Oct. 17–26, 2016

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 1/71

Estimators for Incomplete Data

Greenwood and Åalen Variance

Mortality Table Construction

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 2/71

New Section: Estimators for Incomplete Data

Estimators for Incomplete Data

Greenwood and Åalen Variance

Mortality Table Construction

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 3/71

Estimators for Incomplete Data

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 4/71

Illustrative Example Solution to Illustrative Example

An 11-year mortality study on a group of 10 men age 80 re- 9

Calculate the product-limit estimator of the survival func- Ŝ(6) = 0.675

Ties and New Entrants

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 7/71

In addition, one man apiece leaves the study at times 4 and

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 8/71

Limited Expected Value

In addition, one man apiece leaves the study at times 4 and

3 + 0.9(3) + 0.675(2) = 7.05

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 9/71

Kaplan-Meier Recursion Solution to Recursion Example

Four of them are event times, one of them is a censoring

1. The largest value of Ŝ(4)?

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 12/71

Product-Limit Example: Triangle Solution to Triangle Example

Submitted Claims settled in Not settled

New Subsection: Nelson-Åalen Estimator

Estimators for Incomplete Data

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 15/71

Nelson-Åalen with Complete Data

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 18/71

Nelson-Åalen with Incomplete Data

Product-Limit and Nelson-Åalen Estimators Oct. 17–26, 2016 19/71

Calculate S1 (3) − S2 (3).

Nelson-Åalen Backing Out Example Solution to H(y3 ) → H(y5 ) Example

Application to Loss Sizes Solution to Loss Size Example

Estimators for Incomplete Data

Greenwood and Åalen Variance

Mortality Table Construction

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New Subsection: Variance Formulas

Greenwood and Åalen Variance

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Greenwood Formula and Åalen Formula

Åalen Variance Formula

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1. Calculate the Greenwood approximation of the variance

Example of Åalen Variance

Calculate the Åalen estimate of the standard deviation of

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Variance of qj Variance of qj —Solution

Backing Out Numbers Solution to Backing Out Numbers Example

New Subsection: Confidence Intervals

Greenwood and Åalen Variance

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Log-Transformed Confidence Intervals

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Log-Transformed Confidence Interval for S

The log transformed interval for S is to the left of the linear