Regression modeling of competing risks: Applications to bone marrow transplantation studies and mortgage prepayment and default analysis - Softcover

Jin, Yuxue

 
9783639343199: Regression modeling of competing risks: Applications to bone marrow transplantation studies and mortgage prepayment and default analysis
Softcover
ISBN 10: 3639343190 ISBN 13: 9783639343199
Publisher: VDM Verlag Dr. Müller, 2011

Synopsis

Competing risks frequently arise in medical applications when the subject under study may fail from more than one cause. Typically, regression models for competing risks are based on cause-specific hazards. However, the cause-specific hazard model does not give a direct interpretation in terms of the marginal survival probability of a particular failure type. In the first part of this thesis, an iterative maximum likelihood method was proposed to directly model the cumulative incidence function. Competing risks also arise in mortgage data, which involves two mutually exclusive endpoints, prepayment and default. A quantitative model to accurately predict the mortgage prepayment and default rates based on the loan level information and the state of the economy is therefore very important for both risk management and pricing mortgage-backed securities. In the second part of this thesis, we propose a neural network model to model the prepayment and default probabilities.

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About the Author

Yuxue Jin, Ph.D., is currently a Post Doctoral Fellow at Eisai Medical Research, Inc. She graduated from Stanford University with a Ph.D. in Statistics and M.S. in Financial Mathematics.

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Publisher
VDM Verlag Dr. Müller
Publication date
2011
Language
English
ISBN 10 
3639343190
ISBN 13 
9783639343199
Binding
Paperback
Number of pages
120