Study proposes a new model for joint survival annuity valuation.
problem Valuation of joint survival annuities and options.
method Linear-rational Wishart mortality model based on stochastic matrix affine process.
result Derives closed-form expression for joint survival annuity and option.
Credit risk analysis improved with a joint model for spatial and temporal effects.
problem Predicting borrower's time-to-event with spatial and temporal covariates.
method Spatio-Temporal Joint Model (STJM) using Bayesian hierarchical approach and INLA.
result Spatial effects improve joint model performance, but spatio-temporal interactions have less impact.
First passage models, where corporate assets undergo correlated random walks and a company defaults if its assets fall below a threshold provide an attractive framework for modeling the default process. Typical one year default correlations are small, i.e., of order a few percent, but nonetheless including correlations…
TransformerLSR models longitudinal, recurrent, and survival data jointly.
problem Joint modeling of longitudinal measurements, recurrent events, and survival data with dependencies.
method Transformer-based deep learning framework integrating deep temporal point processes and latent structure representation.
result TransformerLSR effectively models all three components simultaneously, demonstrating necessity and effectiveness through simulations and real-world data.
Proposes a new model to better handle correlation risk in credit risk calculations.
problem Empirical evidence shows correlation risk is significant in credit risk models.
method Introduces a stochastic correlation extension of the Vasicek model using circular diffusion.
result Demonstrates how correlation volatility and persistence affect joint default and survival probabilities.
In this work, a novel approach is proposed for joint analysis of high dimensional time-resolved cardiac motion features obtained from segmented cardiac MRI and low dimensional clinical risk factors to improve survival prediction in heart failure. Different methods are evaluated to find the optimal way to insert convent…
Study improves survival analysis for credit risk by accounting for data drift.
problem Survival analysis in credit risk assumes a stationary data-generating process, but real-world data drift affects model performance.
method Proposes a dynamic joint modelling framework integrating longitudinal behavioural markers and hazard formulations, combined with drift-adaptive techniques.
result Proposed model outperforms classical survival models and drift-adaptive learners in various data drift scenarios.
DSL estimates heterogeneous treatment effects over time in survival settings.
problem Complicated by right censoring and time-varying treatment effects.
method Deep survival learner (DSL) for estimating CATEs over a clinically relevant time spectrum.
result DSL reveals heterogeneity in perioperative chemotherapy effects over time.
The paper develops deep learning models for personalized treatment rules in survival analysis.
problem Deriving optimal treatment rules for bivariate survival outcomes in randomized trials.
method Adaptive prediction-powered learning using deep neural networks and stochastic policies.
result Maximizes joint survival probability beyond fixed time points (t1,t2). This paper presents an original approach for jointly fitting survival times and classifying samples into subgroups. The Coxlogit model is a generalized linear model with a common set of selected features for both tasks. Survival times and class labels are here assumed to be conditioned by a common risk score which depe…
Bayesian model for cost-effectiveness analysis with subgroup discovery.
problem Statistical challenges in cost-effectiveness analysis, especially with non-random treatment assignment and censored data.
method Developed a nonparametric Bayesian model using Dirichlet and Gamma processes to estimate cost-survival distributions and identify cost-effectiveness subgroups.
result Identified and estimated policy-relevant causal CEA estimands using a Bayesian nonparametric g-computation procedure.
Paper introduces novel survival models for handling censored data.
problem Complex data structures and heavy censoring in survival analysis.
method Combines imprecise probability theory with attention mechanisms.
result Proposed models, especially iSurvJ, outperform traditional methods.
KAPLAN-HR models survival data without manual interactions, outperforming existing methods.
problem Survival analysis challenges with complex covariates and time-varying effects.
method Kolmogorov-Arnold Networks (KAN) for nonparametric hazard estimation.
result KAPLAN-HR matches or exceeds existing methods in clinical survival data.
Bounds derived for contract values in life insurance with financial market interaction.
problem Incompleteness in life tables for modern insurance products.
method Derivation of upper and lower bounds for hybrid functionals of lifetime under different assumptions.
result Characterization of worst- and best-case contract values over compatible mortality processes.
Neural model predicts survival outcomes and reveals feature relationships.
problem Predicting time-to-event outcomes and understanding feature relationships in clinical data.
method Survival and topic modeling combined in a neural network framework.
result Neural survival-supervised topic models achieve competitive accuracy with interpretability.
DynForest predicts event probabilities from longitudinal data, handling endogenous predictors.
problem Predicting individual risk using longitudinal patient history.
method Random survival forests with time-fixed features from longitudinal predictors.
result DynForest provides accurate individual event probability predictions.
A novel extrapolation method is proposed for longitudinal forecasting. A hierarchical Gaussian process model is used to combine nonlinear population change and individual memory of the past to make prediction. The prediction error is minimized through the hierarchical design. The method is further extended to joint mod…
Proposes a federated learning approach for RUL prediction from nonparametric degradation and failure signals.
problem Cost-effective RUL prediction from limited, non-shared CM signals with unknown parametric forms.
method Joint modeling of nonlinear degradation signals and failure events using federated learning.
result Superior RUL prediction compared to alternatives, validated through simulations and real data.
SiMLR reduces complex biomedical data into simpler, interpretable forms.
problem Handling high-dimensional biomedical data for better understanding and prediction.
method Similarity-driven multi-view linear reconstruction (SiMLR) with novel objective function and regularization.
result SiMLR outperforms other methods in various biomedical datasets.
Proposes a neural network for dynamic risk prediction of AMD using longitudinal fundus images.
problem Dynamic risk prediction for progressive eye disorders like AMD.
method tdCoxSNN, a time-dependent Cox survival neural network integrating CNN.
result Demonstrates commendable predictive performance in AMD and PBC datasets.
Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk measures significantly. In this contribution we derive precise approxim…
The paper prices a new life insurance policy for couples, considering various contingent benefits.
problem Valuation of life insurance policies for dependent coupled lives.
method Employed the QP-rule combining real-world and risk-neutral measures for pricing. result Explicit pricing expressions for the new insurance policy were derived and analyzed.
Data-driven approaches which aim to identify and predict player engagement are becoming increasingly popular in games industry contexts. This is due to the growing practice of tracking and storing large volumes of in-game telemetries coupled with a desire to tailor the gaming experience to the end-user's needs. These a…
Unified framework for automatic debiased machine learning for various statistical parameters.
problem Inference on smooth functionals of nonparametric M-estimands.
method Unified framework using gradient, Hessian, and linear approximation; solves two risk minimization problems.
result Efficient autoDML estimators with double robustness and robustness to misspecification.
Predicts clinical events using a landmark approach with machine learning for large biomarker histories.
problem Dynamic prediction of clinical events from large biomarker histories.
method Landmark approach extended to endogenous markers history combined with machine learning methods for survival data.
result Superlearner combining regularized regressions and random survival forests outperforms standard survival models.
SurvMixClust clusters survival data and predicts individual survival curves.
problem Integrating clustering into survival analysis for precision medicine.
method SurvMixClust learns latent representations for clustering and predicts survival functions using a mixture of non-parametric experts.
result SurvMixClust creates balanced clusters with distinct survival curves, outperforming clustering baselines and competing with non-clustering models in predictive accuracy.
The paper predicts survival functions using random survival trees and concordance maximization.
problem Predicting conditional survival functions in right-censored data.
method The approach combines regression strategies with random survival trees and maximizes concordance.
result The proposed weighted predictor outperforms the usual survival cobra in terms of concordance.
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual obligations more transparent, a simple structural default model with banks' assets driven…
Survival kernets scale deep kernel survival analysis to large datasets with interpretability and theoretical guarantees.
problem Scalable and interpretable deep kernel survival analysis for large datasets.
method Survival kernets use kernel netting for training set compression and XGBoost for warm-starting neural architecture search.
result Survival kernets achieve optimal time-dependent concordance index on various survival analysis datasets.
Survival MDN uses invertible functions to speed up survival analysis models.
problem Training neural ODEs for survival analysis is computationally expensive.
method Survival MDN applies an invertible positive function to MDN outputs.
result Survival MDN outperforms or matches other models on concordance, Brier score, and log-likelihood.
We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon. Besides the theoretical interest, this is also a practical problem as part of the indus…
RSM provides insights into deep survival models' decision-making.
problem Ensuring trust in deep survival models' predictions for healthcare applications.
method Reverse survival model (RSM) framework that explains deep survival models' decisions.
result RSM extracts relevant features for deep survival models' predictions.
Neural network learns kernel functions for survival analysis and prediction intervals.
problem Predicting survival times for individuals based on similar training subjects.
method Develops a neural network framework to learn kernel functions for kernel survival analysis and uses these to construct valid prediction intervals.
result Neural network survival estimators are competitive with existing methods and provide valid prediction intervals.
Reduces survival analysis to common regression tasks.
problem Applying standard machine learning tools to survival analysis.
method Various reduction techniques to simplify survival analysis.
result Benchmark analysis shows improved predictive performance.
A new method clusters survival data using deep variational models.
problem Clustering survival data, a challenging task.
method Semi-supervised probabilistic approach with deep generative model.
result The method outperforms previous models in clustering and predicting survival times.
We investigate the effect of the proportional hazards assumption on prognostic and predictive models of the survival time of patients suffering from amyotrophic lateral sclerosis (ALS). We theoretically compare the underlying model formulations of several variants of survival forests and implementations thereof, includ…
Optimal Survival Trees improve accuracy in medical data analysis.
problem Analyzing censored outcomes in medical data.
method Mixed-integer optimization and local search techniques.
result Improves accuracy in large datasets compared to existing methods.
RSF models censored functional data for better survival analysis.
problem Modeling survival trajectories with censored data.
method Random Survival Forest for Censored Functional Data (RSF).
result Good performance in predicting survival variables.
Improves survival analysis across multiple domains with machine learning.
problem Adapting survival analysis to new or rare illness types with limited labeled data.
method Introduces a new survival metric and discrepancy measure for censored data, enabling domain adaptation.
result Superb performance on target domains, better treatment recommendations, and interpretable weight matrix.
HACSurv models dependencies between competing risks and censoring for improved survival analysis.
problem Inaccurate survival predictions due to ignoring dependencies between competing risks and censoring.
method HACSurv uses hierarchical Archimedean copulas to model dependencies and cause-specific survival functions.
result HACSurv improves accuracy in survival predictions and captures complex risk interactions.
Optimal survival trees ensemble reduces tree count and improves predictive performance.
problem Improving predictive performance in survival analysis.
method Grows a forest of optimal survival trees by ranking and selecting the best trees based on out-of-bag error.
result Reduces the number of trees in the ensemble while improving predictive performance.
Efficiently clusters survival curves without computationally intensive resampling.
problem Identifying clusters of survival curves efficiently and scalably.
method Log-rank test combined with k-means clustering.
result Achieves comparable results to bootstrap-based methods but with improved efficiency.
In this paper we utilize a survival analysis methodology incorporating Bayesian additive regression trees to account for nonlinear and additive covariate effects. We compare the performance of Bayesian additive regression trees, Cox proportional hazards and random survival forests models for censored survival data, usi…
Interpretable survival analysis improves heart failure risk prediction.
problem Improving heart failure risk prediction using survival analysis.
method Survival stacking, ControlBurn, Explainable Boosting Machines.
result Achieves state-of-the-art performance and provides novel insights.
auton-survival simplifies survival analysis for healthcare data.
problem Handling censored time-to-event data in healthcare.
method Open-source package for survival regression, adjustment, counterfactual estimation, phenotyping, and treatment effects.
result Demonstrates auton-survival's ability to support complex health and epidemiological questions.
SurvBESA predicts survival times using ensemble methods with self-attention.
problem Challenges in survival analysis due to censored data and unstable predictions.
method SurvBESA combines Beran estimators with a self-attention mechanism to predict survival times.
result SurvBESA outperforms state-of-the-art models in predicting survival times.
GBEST model improves survival analysis for small datasets.
problem Challenges in survival analysis, especially with small data.
method Bayesian bootstrap and Beta Stacy bootstrap methods integrated into bagging tree models.
result GBEST model outperforms classical survival models in predictive performance and stability.
SurvFD and SurvSHAP-IQ provide interpretable survival models by analyzing feature interactions.
problem Non-additivity of hazard and survival functions limits standard additive explanation methods.
method SurvFD decomposes higher-order effects into time-dependent and time-independent components, extending Shapley interactions to time-indexed functions.
result SurvFD and SurvSHAP-IQ offer a new perspective on survival explanations, explicitly characterizing feature interactions.