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This is the peer reviewed version of the following article: Comparisons of risk prediction methods using nested case-control data / Agus Salim ... [et al.] In: Statistics in Medicine, 36(3): 455-465, 2017 which has been published in final form at http://dx.doi.org/10.1002/sim.7143 (Please note: access via this link may only be available with a subscription).