14Construction of Empirical Models

14.1 The Empirical Distribution

The material presented here has traditionally been presented under the heading of “survival models,” with the accompanying notion that the techniques are useful only when studying lifetime distributions. Standard texts on the subject, such as Klein and Moeschberger [70] and Lawless [77], contain examples that are exclusively oriented in that direction. However, the same problems that occur when modeling lifetime occur when modeling payment amounts. The examples we present are of both types. However, the latter sections focus on special considerations when constructing decrement models. Only a handful of references are presented, most of the results being well developed in the survival models literature. If you want more detail and proofs, consult a text dedicated to the subject, such as the ones just mentioned.

In Chapter 4, models were divided into two types – data-dependent and parametric. The definitions are repeated here.

This chapter will focus on data-dependent distributions ...

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