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Calculate Observed Support

calc_osup.Rd

This helper function generates the observable support of the lifetime random variable based on the sample data (Lautier et al., 2023). In particular, we assign \(\Delta\) as the smallest observed time, min(c(lifetime, trunc_time)), and \(\omega\) as the largest observed lifetime, max(lifetime). The output is a sequence ranging from \(\Delta + 1\) to \(\xi\) (see retrieve_support()).

Usage

calc_osup(lifetime, trunc_time)

Arguments

lifetime

The vector of observed event and/or right-censoring times.

trunc_time

The vector of observed left-truncation times.

Value

A numeric vector representing the observed support of the lifetime variable. An empty vector (with a warning) if fewer than two time points are available.

References

Lautier, J. P., Pozdnyakov, V., Yan, J. (2023). Pricing time-to-event contingent cash-flows: A discrete-time survival analysis approach. Insurance: Mathematics and Economics, 110, 53-71. https://doi.org/10.1016/j.insmatheco.2023.02.003