MTH6157 - Survival Models - 2023/24

module introduction

Heterogeneity and the actuarial concept of Selection

link to full Office for National Statistics report here, BBC News reporting above

article here, full Swiss Re report below

Why linear regression modelling does not work for survival models, example using National Life Tables data

survival model concepts - you will also need to access the "demonstration" pdf's below to complete the notes

using R commands and functions for week 2 survival model concepts including exponential and Gompertz models

non-parametric approaches, censoring, Kaplan-Meier Estimate

Kaplan Meier in R

This is the question we went through live in the Thursday lecture - full R code and plot given here

You will need to download this csv file and load it into R for the coursework

parametric modelling, covariate data, proportional hazards, Cox's PH model

maximum likelihood estimation in the exponential model

Cox's Proportional Hazard interpretation and calculations

CoxPHdataset.csv

questions on covariate data and Cox's PH model

Markov processes, 2-state and multi-state models

this is a challenging question on multi state models and their use in social security

Binomial and Poisson approximations to the Multi State model and model comparisons

based on week 5 material - two state and multi state models and their use in insurance

for more details on this question and alternative solutions see the recording of the lecture on Monday 30 Oct

exposed to risk

Past paper exposed to risk questions from this module and IFoA exam papers

will be used in Thursday lecture to practice calculating exposed to risk by census and then estimating the transition intensity by age

graduation and statistical tests

example problem question on the Chi-Squared test in R

This question was actually set as assessed coursework in 2022

you will need this CSV file for the Additional R question above

This question was set as assessed coursework in 2022

weeks 9 and 10

The question above should be answered as an exam-style question with calculator rather than Excel or R but the data is here in excel in case helpful

Monday week 11, mortality projections methods

interpretation of the Lee Carter parameters

This is the 2020 LSR paper from which we will use Q1,2,3,4 in the Monday revision session (Q5 is on GLM which has moved from this module to Stats Modelling 2 / Actuarial Statistics since 2020)

Note this was a 2 hour exam on campus

Q5 relates to a topic no longer on the syllabus for this module - Generalised Linear Modelling