Survival and hazard functions for progressive diseases using saddlepoint approximations

Saddlepoint approximations for the computation of survival and hazard functions are introduced in the context of parametric survival analysis. Although these approximations are computationally fast, accurate, and relatively straightforward to implement, their use in survival analysis has been lacking. We approximate survival functions using the Lugannani and Rice saddlepoint approximation to the distribution function or by numerically integrating the saddlepoint density approximation. The hazard function is approximated using the saddlepoint density and distribution functions. The approximations are especially useful for consideration of survival and hazard functions for waiting times in complicated models. Examples include total or partial waiting times for a disease that progresses through various stages (convolutions of distributions).