This paper extends the macroeconomic frailty model to include sectoral frailty factors that capture default … correlations among firms in a similar business. We estimate sectoral and macroeconomic frailty factors and their effects on default … intensity using the data for Japanese firms from 1992 to 2010. We find strong evidence for the presence of sectoral frailty …

In survival analysis a large literature using frailty models, or models with unobserved heterogeneity, exist. In the … proportional hazard structure. First, the aspects of frailty modeling in univariate (proportional hazard, Cox) duration models are …

result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous … frailty and contagion phenomena, and test for the presence of such dependence effects, according to the age and management … exogenous frailty in liquidation risk dependence in the TASS database. The empirical analysis is completed by stress-tests on …

The frailty model is one of the most popular models used to analyze clustered failure time data, where the frailty term … is used to assess an association within each cluster. The frailty model based on the semiparametric accelerated failure … difficulties. In this paper, we relax the frailty distribution to the generalized gamma distribution, which can accommodate most of …

correlated gamma frailty model. Each trial contributing to the meta-analysis provides several survival proportions for each … robustness of the Poisson correlated gamma frailty model under departures from the assumptions on censoring mechanism and on … gamma frailty model a sensitivity analysis is performed. Results from the analysis show that the model is robust. The last …

retirement, frailty terms are introduced. Model diagnoses in the presence of unobserved frailty terms are difficult. Therefore …, the robustness of the parameter estimates to the fitting of an unnecessary frailty or a frailty distribution or form … protected group (White-male) is shown to be robust to several choices of the frailty model. This provides further support for …

specification with regressors, and the risks are dependent by way of the unobserved heterogeneity, or frailty, components. We show …