Year: 2026
Type: article
Abstract: Mixed hitting-time models allow the analysis of competing risks through optimal stopping decisions interpreted as crossing times of latent Lévy processes with heterogeneous thresholds. In this paper, we consider a bivariate time model with dependent default, where observation times are subject to censoring and share a common latent process given by a Lévy subordinator. We establish the identifiability of the model and propose different estimators for the marginal distributions and the joint survival function. We establish their asymptotic properties and evaluate the finite-sample performance of our results through a simulation study on synthetic data, followed by an application using real data.
Source: Statistical Papers
Institutions: Laboratoire Angevin de Recherche en Mathématiques, Université d'Angers, Université de Technologie de Compiègne, Centre National de la Recherche Scientifique, Université Paris-Est Créteil, Laboratoire d’Analyse et de Mathématiques Appliquées, Université Gustave Eiffel, Laboratoire de mathématiques appliquées de Compiègne, University of Sfax
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $2,890
OpenAlex ID: W4405986930