Joint lifetime modeling with matrix distributions

DOI10.1515/DEMO-2022-0153MaRDI QIDQ6160718zbMATH OpenOpenAlexFDO

Authors Hansjörg Albrecher, Martin Bladt, A. Müller

Publication date 26 June 2023

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2207.01279

zbMATH Keywords

censoringEM algorithmmortality modelingmultivariate PH distributions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation in survival analysis and censored data (62N02) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation in terms of ageing towards its inevitable absorption. In this paper, we consider an extension to the bivariate setting for the modelling of joint lifetimes. In contrast to previous models in the literature that were based on a separate estimation of the marginal behavior and the dependence structure through a copula, we propose a new time-inhomogeneous version of a multivariate PH class (mIPH) that leads to a model for joint lifetimes without that separation. We study properties of mIPH class members and provide an adapted estimation procedure that allows for right-censoring and covariate information. We show that initial distribution vectors in our construction can be tailored to reflect the dependence of the random variables, and use multinomial regression to determine the influence of covariates on starting probabilities. Moreover, we highlight the flexibility and parsimony, in terms of needed phases, introduced by the time-inhomogeneity. Numerical illustrations are given for the famous data set of joint lifetimes of Frees et al. [15], where 10 phases turn out to be sufficient for a reasonable fitting performance. As a by-product, the proposed approach enables a natural causal interpretation of the association in the ageing mechanism of joint lifetimes that goes beyond a statistical fit.

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Cited in

(3)

• Aggregate Markov models in life insurance: estimation via the EM algorithm
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Mortality modeling and regression with matrix distributions

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