Multi-state modelling of customer churn

DOI10.1017/ASB.2022.18MaRDI QIDQ5045334zbMATH OpenOpenAlexFDO

Authors Yumo Dong, Edward W. Frees, F. Huang, Francis K. C. Hui

Publication date 4 November 2022

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2022.18

zbMATH Keywords

receiver operating characteristic curvemultinomial logistic regressionchurntransition probabilityaverage marginal effect curvecommercial insuranceconditional effect curvesecond-order Markov chain modeltop-decile lift

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes: estimation; hidden Markov models (62M05) Actuarial mathematics (91G05) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Consumer behavior, demand theory (91B42)

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Cites work

• scientific article; zbMATH DE number 1728414 (Why is no real title available?)
• scientific article; zbMATH DE number 1323217 (Why is no real title available?)
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• Logistic regression for insured mortality experience studies
• Longitudinal and Panel Data
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• Modelling and predicting customer churn from an insurance company
• Multistate actuarial models of functional disability
• Optimal hedging of demographic risk in life insurance
• Pair copula constructions for insurance experience rating
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• Statistical Analysis of Financial Data in S-Plus
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Cited in

(5)

• The Impact of Churn on Client Value in Health Insurance, Evaluation Using a Random Forest Under Various Censoring Mechanisms
• Computer assisted customer churn management: state-of-the-art and future trends
• Modelling and predicting customer churn from an insurance company
• The impact of geographical factors on churn prediction: an application to an insurance company in Madrid's urban area
• Frailty modelling of time-to-lapse of single policies for customers holding multiple car contracts

Describes a project that uses

Uses Software

• HandTill2001
• caret
• MASS (R)

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