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Hazard Rate (hazard + rate)
Selected AbstractsDividend Initiations and Asymmetric Information: A Hazard ModelFINANCIAL REVIEW, Issue 3 2003Sanjay Deshmukh G35 Abstract This paper investigates the dynamics of dividend policy using a hazard model. Specifically, the paper examines dividend initiations for a sample of firms that went public between 1990 and 1997. These dividend initiations are examined in the context of an alternative explanation based on the pecking order theory. The results indicate that the probability or the hazard rate of a dividend initiation is negatively related to both the level of asymmetric information and growth opportunities and positively related to the level of cash flow. These results are consistent with a pecking order explanation but inconsistent with a signaling explanation. [source] Relative Fitness and Frailty of Elderly Men and Women in Developed Countries and Their Relationship with MortalityJOURNAL OF AMERICAN GERIATRICS SOCIETY, Issue 12 2005Arnold Mitnitski PhD Objectives: To investigate the relationship between accumulated health-related problems (deficits), which define a frailty index in older adults, and mortality in population-based and clinical/institutional-based samples. Design: Cross-sectional and cohort studies. Setting: Seven population-based and four clinical/institutional surveys in four developed countries. Participants: Thirty-six thousand four hundred twenty-four people (58.5% women) aged 65 and older. Measurements: A frailty index was constructed as a proportion of all potential deficits (symptoms, signs, laboratory abnormalities, disabilities) expressed in a given individual. Relative frailty is defined as a proportion of deficits greater than average for age. Measures of deficits differed across the countries but included common elements. Results: In each country, community-dwelling elderly people accumulated deficits at about 3% per year. By contrast, people from clinical/institutional samples showed no relationship between frailty and age. Relative fitness/frailty in both sexes was highly correlated (correlation coefficient >0.95, P<.001) with mortality, although women, at any given age, were frailer and had lower mortality. On average, each unit increase in deficits increased by 4% the hazard rate for mortality (95% confidence interval=0.02,0.06). Conclusion: Relative fitness and frailty can be defined in relation to deficit accumulation. In population studies from developed countries, deficit accumulation is robustly associated with mortality and with age. In samples (e.g., clinical/institutional) in which most people are frail, there is no relationship with age, suggesting that there are maximal values of deficit accumulation beyond which survival is unlikely. [source] Investigating household food interpurchase behavior through market segmentation,AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 3 2010Diansheng Dong In this study, a market segmentation approach is developed and applied to analyze U.S. households' cheese purchases. The segmentation is based on household interpurchase time, or the hazard rate of purchases. In this study, four segments have been discovered in the U.S. market for household cheese purchases. Two of the segments jointly represent about 40% of all cheese-purchasing households and are characterized as frequent buyers with an average interpurchase time of 2 weeks. These frequent-purchase households are larger in size, have greater incomes, have a smaller proportion of African Americans, and are insensitive to coupons. They are often described in the marketing literature as loyal customers. In contrast, the other two segments, which jointly represent about 60% of the households, are characterized by infrequent buyers with an average interpurchase time of 6 weeks. These infrequent-purchase households are smaller in size, have less income, have a higher proportion of African Americans, and are sensitive to coupons. Marketing promotions typically target the infrequent-purchase households. [EconLit citations: D12, C51, C41]. © 2010 Wiley Periodicals, Inc. [source] The Substitution Hypothesis: The Impact of Premarital Liaisons and Human Capital on Marital TimingJOURNAL OF MARRIAGE AND FAMILY, Issue 2 2002Monica Gaughan Nonmarital romantic and sexual relationships occur concurrently with the human capital acquisition process and contribute to delaying or forgoing marriage. Event history analysis is used to model the marital hazard rate of 341 White women born between 1960 and 1963 in a Western metropolitan area. In addition to family background, adolescent characteristics, and employment and educational histories, the structure of the women's premarital liaisons is shown to play an important role in the timing of first marriage. The greater a woman's involvement in nonmarital romantic and sexual activity, the less likely she is to be married by age 27,30. Human capital characteristics and the dynamics of relationship histories operate independently to explain marital timing. This supports the theory that women substitute premarital liaisons for marriage early in the adult life course. However, there is no evidence that highly educated women, or those who are students, are more or less likely to do so than others. [source] PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCYMATHEMATICAL FINANCE, Issue 2 2006Vadim Linetsky We solve in closed form a parsimonious extension of the Black,Scholes,Merton model with bankruptcy where the hazard rate of bankruptcy is a negative power of the stock price. Combining a scale change and a measure change, the model dynamics is reduced to a linear stochastic differential equation whose solution is a diffusion process that plays a central role in the pricing of Asian options. The solution is in the form of a spectral expansion associated with the diffusion infinitesimal generator. The latter is closely related to the Schrödinger operator with Morse potential. Pricing formulas for both corporate bonds and stock options are obtained in closed form. Term credit spreads on corporate bonds and implied volatility skews of stock options are closely linked in this model, with parameters of the hazard rate specification controlling both the shape of the term structure of credit spreads and the slope of the implied volatility skew. Our analytical formulas are easy to implement and should prove useful to researchers and practitioners in corporate debt and equity derivatives markets. [source] Properties of some stochastic orders: A unified studyNAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 2 2004Taizhong Hu Abstract The notions of the likelihood ratio order of degree s (s , 0) are introduced for both continuous and discrete integer-valued random variables. The new orders for s = 0, 1, and 2 correspond to the likelihood ratio, hazard rate, and mean residual life orders. We obtain some basic properties of the new orders and their up shifted stochastic orders, and derive some closure properties of them. Such a study is meaningful because it throws an important light on the understanding of the properties of the likelihood ratio, hazard rate, and mean residual life orders. On the other hand, the properties of the new orders have potential applications. © 2003 Wiley Periodicals, Inc. Naval Research Logistics, 2004. [source] Lebenserwartung, medizinischer Fortschritt und Gesundheitsausgaben: Theorie und EmpiriePERSPEKTIVEN DER WIRTSCHAFTSPOLITIK, Issue 2006Stefan Felder The rising health share can be explained by a standard economic model: As people get richer they purchase additional years of life and less additional consumption, provided that satiation occurs more rapidly in non-health consumption. The gains in life years increasingly occur late in the lifespan. As a result the incremental cost-benefit ratio of health care deteriorates: marginal costs increase as the marginal productivity of medical inputs decreases in old age while marginal benefits decrease due to a rising hazard rate. On average, medical progress is worth it. Future income growth will further increase the health share, while population ageing will only marginally affect health care expenditures. [source] THE ADOPTION OF STATE ELECTRICITY REGULATION: THE ROLE OF INTEREST GROUPS,THE JOURNAL OF INDUSTRIAL ECONOMICS, Issue 2 2006CHRISTOPHER R. KNITTEL This paper examines the adoption of state electricity regulation around the beginning of the 20th century. I model this decision as a hazard rate to determine what influenced the adoption of state regulation. I find that adoption is positively correlated with capacity shortages, greater wealth and lower residential electricity penetration rates. These results suggest that state regulation responded to regulatory inefficiencies and residential consumer interests. In addition, adoption rates were higher in states that had a strong industrial and coal mining presence. These results are consistent with the interest group and contracting theories of regulation. [source] Periodontitis and incidence of cerebrovascular disease in men,ANNALS OF NEUROLOGY, Issue 4 2009Monik Jimenez SM Objective To identify associations between periodontitis and incidence of cerebrovascular disease. Methods We analyzed data of 1,137 dentate men in the Veterans Affairs Normative Aging and Dental Longitudinal Study who were followed with triennial medical/dental exams for up to 34 years (mean, 24 years). We evaluated incidence of cerebrovascular events consistent with stroke or transient ischemic attack in relation to mean radiographic alveolar bone loss (a measure of periodontitis history) and cumulative periodontal probing depth (a measure of current periodontal inflammation). Cox proportional hazards models were fit controlling for age, baseline socioeconomic status, and time-varying effects of established cardiovascular risk factors. Results Eighty incident cases of cerebrovascular disease occurred from 27,506 person-years. Periodontal bone loss was significantly associated with an increased hazard rate (HR) of cerebrovascular disease (HR, 3.52; 95% confidence interval [CI], 1.59,7.81 comparing highest to lowest bone loss category; p for trend, <0.001). There was a stronger effect among men aged <65 years (HR, 5.81; 95% CI, 1.63,20.7) as compared with men aged ,65 years (HR, 2.39; 95% CI, 0.91,6.25). Periodontal probing depth was not associated with a significantly increased rate of cerebrovascular disease in the combined or age-stratified analyses. Interpretation These results support an association between history of periodontitis,but not current periodontal inflammation,and incidence of cerebrovascular disease in men, independent of established cardiovascular risk factors, particularly among men aged <65 years. Ann Neurol 2009;66:505,512 [source] Generalized mixtures in reliability modelling: Applications to the construction of bathtub shaped hazard models and the study of systemsAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 3 2009Jorge Navarro Abstract In this paper, we obtain and discuss some general properties of hazard rate (HR) functions constructed via generalized mixtures of two members. These results are applied to determine the shape of generalized mixtures of an increasing hazard rate (IHR) model and an exponential model. In addition, we note that these kind of generalized mixtures can be used to construct bathtub-shaped HR models. As examples, we study in detail two cases: when the IHR model chosen is a linear HR function and when the IHR model is the extended exponential-geometric distribution. Finally, we apply the results and show the utility of generalized mixtures in determining the shape of the HR function of different systems, such as mixed systems or consecutive k -out-of- n systems. Copyright © 2008 John Wiley & Sons, Ltd. [source] Theory & Methods: Data Sharpening for Hazard Rate EstimationAUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, Issue 3 2002Gerda Claeskens Data sharpening is a general tool for enhancing the performance of statistical estimators, by altering the data before substituting them into conventional methods. In one of the simplest forms of data sharpening, available for curve estimation, an explicit empirical transformation is used to alter the data. The attraction of this approach is diminished, however, if the formula has to be altered for each different application. For example, one could expect the formula for use in hazard rate estimation to differ from that for straight density estimation, since a hazard rate is a ratio,type functional of a density. This paper shows that, in fact, identical data transformations can be used in each case, regardless of whether the data involve censoring. This dramatically simplifies the application of data sharpening to problems involving hazard rate estimation, and makes data sharpening attractive. [source] Air travel and the risk of deep vein thrombosisAUSTRALIAN AND NEW ZEALAND JOURNAL OF PUBLIC HEALTH, Issue 1 2006Niels G. Becker Background:The magnitude of the risk of venous thromboembolism (VTE) following air travel has been difficult to resolve due to lack of adequate data. We determine the association more precisely by using a large dataset and an improved method of analysis. Method:Data on air-travel history for each of 5,196 patients hospitalised for VTE in Western Australia from 1981 to 1999 is analysed using a log-linear regression model for the probability that a flight triggers VTE and for the baseline hazard rate for VTE hospitalisation. Results:The risk of VTE being triggered on the day of an international flight relative to a flight-free day is 29.8 (95% CI 22.4-37.3). Evidence that this relative risk depends on age is weak (p=0.06), but the absolute risk clearly depends on age. The annual relative risk for an individual taking one international flight, compared with an individual of the same age taking no flight, is estimated to be 1.079. The estimated median time from flight to hospital admission is 4.7 days (95% CI 3.8-5.6) and the estimated 95th percentile is 13.3 (95% CI 10.3-16.8). Conclusions:Evidence for an association between international air travel and VTE hospitalisation is strong and passengers should be advised on ways to minimise risk during long flights. While 29.8 is a large relative risk, it must be remembered that the baseline risk is very small and the relative risk applies only to the unobserved triggering of a deep vein thrombosis episode on the day of travel; the consequent hospitalisation occurs on one of numerous ensuing days. [source] Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependenciesJOURNAL OF FORECASTING, Issue 6 2008Chae Woo Nam Abstract The purpose of this paper is to build an alternative method of bankruptcy prediction that accounts for some deficiencies in previous approaches that resulted in poor out-of-sample performances. Most of the traditional approaches suffer from restrictive presumptions and structural limitations and fail to reflect the panel properties of financial statements and/or the common macroeconomic influence. Extending the work of Shumway (2001), we present a duration model with time-varying covariates and a baseline hazard function incorporating macroeconomic dependencies. Using the proposed model, we investigate how the hazard rates of listed companies in the Korea Stock Exchange (KSE) are affected by changes in the macroeconomic environment and by time-varying covariate vectors that show unique financial characteristics of each company. We also investigate out-of-sample forecasting performances of the suggested model and demonstrate improvements produced by allowing temporal and macroeconomic dependencies.,,Copyright © 2008 John Wiley & Sons, Ltd. [source] A two-stage procedure for comparing hazard rate functionsJOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES B (STATISTICAL METHODOLOGY), Issue 1 2008Peihua Qiu Summary., Comparison of two hazard rates is important in applications that are related to times to occurrence of a specific event. Conventional comparison procedures, such as the log-rank, Gehan,Wilcoxon and Peto,Peto tests, are powerful only when the two hazard rates do not cross each other. Because crossing hazard rates are common in practice, several procedures have been proposed in the literature for comparing such rates. However, most of these procedures consider only the alternative hypothesis with crossing hazard rates; many other realistic cases, including those when the two hazard rates run parallel to each other, are excluded from consideration. We propose a two-stage procedure that considers all possible alternatives, including ones with crossing or running parallel hazard rates. To define its significance level and p -value properly, a new procedure for handling the crossing hazard rates problem is suggested, which has the property that its test statistic is asymptotically independent of the test statistic of the log-rank test. We show that the two-stage procedure, with the log-rank test and the suggested procedure for handling the crossing hazard rates problem used in its two stages, performs well in applications in comparing two hazard rates. [source] Choice of parametric models in survival analysis: applications to monotherapy for epilepsy and cerebral palsyJOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES C (APPLIED STATISTICS), Issue 2 2003G. P. S. Kwong Summary. In the analysis of medical survival data, semiparametric proportional hazards models are widely used. When the proportional hazards assumption is not tenable, these models will not be suitable. Other models for covariate effects can be useful. In particular, we consider accelerated life models, in which the effect of covariates is to scale the quantiles of the base-line distribution. Solomon and Hutton have suggested that there is some robustness to misspecification of survival regression models. They showed that the relative importance of covariates is preserved under misspecification with assumptions of small coefficients and orthogonal transformation of covariates. We elucidate these results by applications to data from five trials which compare two common anti-epileptic drugs (carbamazepine versus sodium valporate monotherapy for epilepsy) and to survival of a cohort of people with cerebral palsy. Results on the robustness against model misspecification depend on the assumptions of small coefficients and on the underlying distribution of the data. These results hold in cerebral palsy but do not hold in epilepsy data which have early high hazard rates. The orthogonality of coefficients is not important. However, the choice of model is important for an estimation of the magnitude of effects, particularly if the base-line shape parameter indicates high initial hazard rates. [source] Price adjustment in German manufacturing: evidence from two merged surveysMANAGERIAL AND DECISION ECONOMICS, Issue 2-3 2010Harald Stahl This paper presents new evidence on the formation of producer prices. The database combines a one-time survey that was conducted in June 2004 on a sample of 1200 firms in manufacturing and time series information on price adjustment of the same firms. Twenty percent of firms set prices as time-dependent but neither Taylor nor Calvo-type price setting describes them aptly. Few firms are forward-looking. According to the one-time survey, fixed contracts and coordination failure are the main reason for postponing price adjustment. However, the hazard rates for price changes from the time series information do not support this. Copyright © 2009 John Wiley & Sons, Ltd. [source] Bayesian Modeling of Age-Specific Survival in Bird Nesting Studies under Irregular VisitsBIOMETRICS, Issue 4 2003Chong Z. He Summary. In this article, a Bayesian model for age-specific nest survival rates is presented to handle the irregular visit case. Both informative priors and noninformative priors are investigated. The reference prior under this model is derived, and, therefore, the hyperparameter specification problem is solved to some extent. The Bayesian method provides a more accurate estimate of the total survival rate than the standard Mayfield method, if the age-specific hazard rates are not constant. The Bayesian method also lets the biologist look for high- and low-survival rates during the whole nesting period. In practice, it is common for data of several types to be collected in a single study. That is, some nests may be aged, others are not. Some nests are visited regularly; others are visited irregularly. The Bayesian method accommodates any mix of these sampling techniques by assuming that the aging and visiting activities have no effect on the survival rate. The methods are illustrated by an analysis of the Missouri northern bobwhite data set. [source] | ||||||||||||||||