Survival Analysis with Dependent Censoring and Bivariate Defaults

par Dr Salima Helali (Université de technologie de Compiègne)

mardi 10 mars 2026, 14:00 → 15:00 Europe/Paris

UTC GI

Mixed duration models allow the analysis of competing risks through latent stochastic processes with heterogeneous thresholds. In this work, we consider a bivariate time model with dependent defaults, 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 study their asymptotic properties and evaluate their finite-sample performance through a simulation
study based on synthetic data, followed by an application to real data. This is joint work with Mikael Escobar-Bach.