Past exam of the mathematics course of the University of Cambridge 2005 iii Paper 44 2 c Solution Created 2026-10-03 Updated 2026-10-14
For , a gamma distribution with unit mean and variance has shape and rate . Substituting its Laplace transform into the preceding result givesIts negative logarithmic derivative is the population hazard function:Consequently, at times with , the gamma frailty hazard ratio isAt a time when both hazards vanish this formula is a continuous extension; the literal ratio is undefined.
Write and . Two useful identities areFor small cumulative exposure , , so it starts at the conditional hazard ratio . If , it decreases towards one; if , it increases towards one; and if , it equals one throughout. It stays between and one and never crosses one.
For fixed , the late-time limit is one provided . If instead the integrated hazard tends to a finite value , the limiting hazard ratio is , which need not be one. Elapsed time alone does not imply unbounded exposure.
For small at a fixed time, . At the frailty degenerates to , giving an ordinary proportional hazards model. For large at a fixed time with , ; at time zero, however, it remains . Thus that variance limit is not uniform near zero. Larger heterogeneity accelerates the movement of the population hazard ratio towards one. The mechanism is survival selection: frailer individuals leave the population sooner, particularly in the higher-hazard group, while each individual's conditional multiplier remains fixed.