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Regression modeling of competing risks

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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  • Product Description
 

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.

Product Specifications
SKU :COC93770
AuthorYuxue Jin
LanguageEnglish
BindingPaperback
Number of Pages120
Publishing Year2011-03-27T00:00:00.000
ISBN978-3639343199
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-08-14 00:00:00