CT4
CT4
CT4
1. Strictly stationary
2. Weakly stationary
1. Strictly Stationary
A process is said to be strictly stationary if all the statistical properties of a
process remain constant throughout. Statistically, if the joint distribution of any set
of values {X1 , X2 ,….., Xn} is same as the joint distribution of {X1+k , X2+k ,….., Xn+k}
where k is the lag between the two sets.
2. Weakly Stationary
A process is said to be weakly stationary if the first two moments do not vary with
time, i.e. E(Xt) and V(Xt) are constant and Cov(Xt , Xs) depends only on lag t-s.
Additionally, the simple random walk has unit step-sizes of +1 and -1.
In a symmetrical random walk, the probability of moving up or down are equal i.e. ½.
• N(t) has stationary, independent increments and for each t, N(t) has a Poisson
distribution with parameter λt.
• N(t) is a Markov jump process with independent increments and transition
probabilities over a short time period h given by:
given by:
• RIGHT CENSORING: When the censoring mechanism which cut shorts the
observation in progress, then the data is right censored.
• LEFT CENSORING: It is the censoring mechanism which prevent us from
knowing when the entry into the state we wish to observe took place.
• INTERVAL CENSORING: If the information received only allow us to say that an
event of interest fell within some interval of time, then the data is said to have
interval censoring. Both right and left censoring can be seen as a special case of
interval censoring.
• TYPE 1 CENSORING: If the censoring times are known in advance then the
mechanism is called type one censoring.
• TYPE 2 CENSORING: If the experiment is continued until a pre-decided no. of
deaths (or decrement under consideration) have occurred then type 2 censoring
is said to be present.
• RANDOM CENSORING: Random censoring arises when the individual leaves
the experiment due to some reason other than death(or decrement under
consideration) and the time of leaving is not known in advance.
• NON- INFORMATIVE CENSORING: If the censoring mechanism gives no
information about the future lifetime of an individual after the experiment is over,
then non-informative censoring is present.
• INFORMATIVE CENSORING: If the censoring mechanism gives the information
about the future lifetime of an individual after the experiment is over, then
informative censoring is present.
Q: What are the two non-parametric based models used to evaluate survival
functions? Also underline their assumptions?
Ans: The two non-parametric models used to evaluate survival functions are:
Q: What is a covariate?
Ans: A covariate is any quantity recorded in respect of each life, such as age, sex, type
of treatment etc.
The two-state model and Poisson model can easily be extended to allow for multiple
decrements, whereas the binomial cannot.
Q: What is graduation?
Ans: The process of using statistical techniques to improve the estimates provided by
the crude rates is called graduation.
• To produce a smooth set of rates that are suitable for a particular purpose.
• To remove random sampling errors.
• To use the information available from adjacent ages to improve the reliability of
the estimates.
Q: What are the three methods of graduation?
Ans: The three methods of graduation are:
Q: What are duplicate policies? How do they affect the investigation? Mention a
way to overcome this problem?
Ans: Duplicate policies refer to those similar extra policies taken by the single
policyholder. Duplicate policies distort the results of an investigation.
Allowance can be made for the increase in the variance of the number of claims
observed due to the existence of duplicate policies.