Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.insmatheco.2004.08.002
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dc.titleAnalytically calibrated Box-Cox percentile limits for duration and event-time models
dc.contributor.authorYang, Z.
dc.contributor.authorTsui, A.K.
dc.date.accessioned2011-05-03T08:08:36Z
dc.date.available2011-05-03T08:08:36Z
dc.date.issued2004
dc.identifier.citationYang, 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
dc.identifier.issn01676687
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/22325
dc.description.abstractThis 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.insmatheco.2004.08.002
dc.sourceScopus
dc.subjectAnalytical calibration
dc.subjectBox-Cox transformation
dc.subjectDuration model
dc.subjectEvent-time model
dc.subjectPercentile limits
dc.typeArticle
dc.contributor.departmentECONOMICS
dc.description.doi10.1016/j.insmatheco.2004.08.002
dc.description.sourcetitleInsurance: Mathematics and Economics
dc.description.volume35
dc.description.issue3
dc.description.page649-677
dc.description.codenIMECD
dc.identifier.isiut000225813100010
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