Modelling dynamic lapse with survival analysis and machine learning in CPI

DOI10.1007/S10203-020-00285-9zbMATH Open1470.91219OpenAlexW3026280043MaRDI QIDQ2044802FDOQ2044802

Authors: Marco Aleandri, Alessia Eletti 

Publication date: 10 August 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00285-9

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zbMATH Keywords

accelerated failure time modelmachine learningsurvival analysisdefaultprepaymentlapserandom survival forestcredit protection insuranceTVOG

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Actuarial mathematics (91G05) Credit risk (91G40)

Cites Work

• An equilibrium characterization of the term structure
• Not if but when will borrowers default

Cited In (4)

• The Impact of Churn on Client Value in Health Insurance, Evaluation Using a Random Forest Under Various Censoring Mechanisms
• Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies
• Identifying the determinants of lapse rates in life insurance: an automated Lasso approach
• Applying economic measures to lapse risk management with machine learning approaches

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