Christian Furrer: Expert Kaplan-Meier estimation

Abstract

In various fields, observations may be subject not only to right-censoring, but also to certain forms of contamination. In health and disability insurance, for instance, claims believed settled might later reopen. Fortunately, expert knowledge about claim settlements is often available. In this talk, we propose to overcome the contamination by integrating expert information into the product-limit estimator. Strong uniform consistency is proven under certain assumptions on the kind of contamination and the quality of expert information. The nuances of the techniques are discussed, and they are illustrated using insurance data. Finally, if time permits, links to so-called transaction time modeling are provided.