Unobserved individual heterogeneity, also called frailty, is a major concern in the application of survival analysis. Hazard rates do not give direct information on the change over time in the individual risk, but are strongly influenced by selection effects operating in the population. The individuals surviving up to a certain time will on average be less frail than the original population. Models are reviewed that account for this phenomenon, and some medical examples are discussed. It is emphasized that the frailty phenom enon may be modelled in many different ways, and a stochastic process approach is discussed as an alternative to the common proportional frailty model.
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