Calculate approximate confidence intervals for the estimators in Topic 1(h), using asymptotic properties of the maximum likelihood estimators.
Free SOA Exam ALTAM (Advanced Long-Term Actuarial Mathematics) lesson in Survival Models for Contingent Cash Flows. 9 min read, ~1,341 words.
Asymptotic normality: for large samples under standard regularity conditions. Observed information:; invert it for the variance estimate (use observed, not expected, from your data). Wald CI:;. Delta method:; only the squared derivative enters, so sign is irrelevant. Multi-parameter: covariance matrix is the inverse Hessian of at the MLE; a function's...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
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- Exam Shortcuts
Learning objectives
- 1i
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