Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.insmatheco.2004.08.002
Title: Analytically calibrated Box-Cox percentile limits for duration and event-time models
Authors: Yang, Z.
Tsui, A.K. 
Keywords: Analytical calibration
Box-Cox transformation
Duration model
Event-time model
Percentile limits
Issue Date: 2004
Source: Yang, Z., Tsui, A.K. (2004). Analytically calibrated Box-Cox percentile limits for duration and event-time models. Insurance: Mathematics and Economics 35 (3) : 649-677. ScholarBank@NUS Repository. https://doi.org/10.1016/j.insmatheco.2004.08.002
Abstract: This paper proposes a unified approach to constructing confidence limits for a future percentile duration or event-time. The construction is based on an analytical calibration of the Box-Cox-type "plug-in" percentile limits (PL). The performance of the calibrated Box-Cox PL is investigated using Monte Carlo experiments. Comparisons are made with PLs that are specifically designed for a particular distribution such as Weibull and lognormal. Excellent performances of the calibrated Box-Cox PL are observed. Simulation based on other popular duration models such as gamma and inverse Gaussian reveal that the proposed PL is robust against distributional assumptions and that it performs much better than the distribution-free PL. An empirical illustration is also provided. © 2004 Elsevier B.V. All rights reserved.
Source Title: Insurance: Mathematics and Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/22325
ISSN: 01676687
DOI: 10.1016/j.insmatheco.2004.08.002
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