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Modeling lapse rates using machine learning : a comparison between Survival Forests and Cox Proportional Hazards techniques

Modeling lapse rates using machine learning : a comparison between Survival Forests and Cox Proportional Hazards techniques
Recurso electrónico / Electronic resource
MARC record
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001  MAP20210037337
003  MAP
005  20220911185731.0
008  211230e20211229esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20210037528‎$a‎Andrade, Jorge Luis
24510‎$a‎Modeling lapse rates using machine learning‎$b‎: a comparison between Survival Forests and Cox Proportional Hazards techniques‎$c‎Jorge Luis Andrade, José Luis Valencia
520  ‎$a‎This study undertakes a comparative analysis of the performance of machine learning and traditional survival analysis techniques in the insurance industry. The techniques compared are the traditional Cox Proportional Hazards (CPH), Random Survival Forests (RSF) and Conditional Inference Forests (CIF) machine learning models. These techniques are applied in a case study of insurance portfolio of one of Ecuador's largest insurer. This study demonstrates how machine learning techniques perform better in predicting survival function measured by the C-index and Brier Score. It also demonstrates that the predictive contribution of covariates in the RSF model is consistent with the traditional CPH model
540  ‎$a‎La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"‎$u‎https://creativecommons.org/licenses/by/4.0‎$9‎44
650 4‎$0‎MAPA20090041776‎$a‎Análisis actuarial
650 4‎$0‎MAPA20170005476‎$a‎Machine learning
650 4‎$0‎MAPA20080614737‎$a‎Modelos de supervivencia
650 4‎$0‎MAPA20080594589‎$a‎Análisis comparativo
650 4‎$0‎MAPA20080583972‎$a‎Cartera de seguros
650 4‎$0‎MAPA20130017037‎$a‎Análisis predictivos
7001 ‎$0‎MAPA20210037535‎$a‎Valencia, José Luis
7102 ‎$0‎MAPA20080454739‎$a‎Instituto de Actuarios Españoles
7730 ‎$w‎MAP20070000012‎$g‎29/12/2021 Número 27 - Epoca 4ª, Año 2021 , p. 161-183‎$t‎Anales del Instituto de Actuarios Españoles : Colegio Profesional‎$d‎Madrid : Instituto de Actuarios Españoles, 1943-
856  ‎$q‎application/pdf‎$w‎1113292‎$y‎Recurso electrónico / Electronic resource