BIRS Workshop Lecture Videos
Fly-By-Night Life Insurance and the NPMLE for Weibull Frailty Models Koenker, Roger
Unobserved heterogeneity is an common feature of statistical survival analysis where it is usually referred to as frailty. Parametric mixture models are frequently used to capture these effects, but it is desirable to consider nonparametric mixture models as well. We illustrate the latter approach with a reanalysis of a large scale mortality study of Mediterranean fruit flies employing the Kiefer-Wolfowitz nonparametric maximum likelihood estimator of the mixing distribution for a nonparametric Weibull frailty model. Empirical Bayes methods are employed to design actuarially fair life insurance contracts to contrast the approach with parametric methods. Some associated problems of profile likelihood will also be addressed.
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