Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 41 / 5 / b / Solution

A frailty model uses an unobserved nonnegative random hazard multiplier to represent variation in individual risk. In a proportional frailty model, conditional on $U=u$ the cumulative hazard function is $u{H}_0(t)$, giving survivor $e^{-u{H}_0(t)}$. Averaging over the frailty random variable by the law of total probability yieldsthe Laplace transform of the frailty distribution evaluated at the baseline integrated hazard. This also applies to atoms by integration against the probability measure; the printed Dirac expression is not an ordinary continuous density.

In the given two-atom case, the Dirac delta function notation assigns probabilities $1/4$ and $3/4$ to $U=4/7$ and $U=8/7$. These have mean one, fixing the frailty scale relative to the baseline hazard. With $H_0(t)=7t/4$, the two conditional integrated hazards are $t$ and $2t$. ThereforeThe frailty distribution among survivors shifts toward the smaller multiplier $4/7$ over time, reproducing the declining population hazard and limit one without changing either individual's constant conditional hazard.