时间🎼：2018年11月13日(周二)上午11:30-12:00
地点：中北校区理科大楼A1716报告厅
题目🦸🏿♀️：Estimation under Single-Index Hazard Model
主讲人：刘吉彩 上海师范大学
摘要👰🏿♀️💇🏽：
In the past decade, the pricing of credit risk derivatives has been extensively studied in economics and finance. We model the default intensity by a semiparametric model with unspecified functional form and involving an index structure. For delicate estimation, We develop a randomly censored version of bivariate local linear regression to obtain a uniformly consistent estimator of the nonparametric component. The induced profile likelihood estimators of index coefficients are semiparametric efficient, inspiring construction of a class of efficient estimation equations. For computational feasibility, another two sets of estimation equations are presented based on double robustness. The efficient estimation can be readily implemented by an adapted Newton-Raphson algorithm. Asymptotic properties of all estimators are rigorously established and derived. Numerical results confirm good performance of the proposed estimators.