Modeling lapse rates using machine learning : a comparison between Survival Forests and Cox Proportional Hazards techniques
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<title>Modeling lapse rates using machine learning</title>
<subTitle>: a comparison between Survival Forests and Cox Proportional Hazards techniques</subTitle>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20210037528">
<namePart>Andrade, Jorge Luis</namePart>
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<namePart>Valencia, José Luis</namePart>
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<namePart>Instituto de Actuarios Españoles</namePart>
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<abstract displayLabel="Summary">This 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</abstract>
<accessCondition type="use and reproduction">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"</accessCondition>
<note type="statement of responsibility">Jorge Luis Andrade, José Luis Valencia</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041776">
<topic>Análisis actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170005476">
<topic>Machine learning</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080614737">
<topic>Modelos de supervivencia</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080594589">
<topic>Análisis comparativo</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080583972">
<topic>Cartera de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130017037">
<topic>Análisis predictivos</topic>
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<title>Anales del Instituto de Actuarios Españoles : Colegio Profesional</title>
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<publisher>Madrid : Instituto de Actuarios Españoles, 1943-</publisher>
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<identifier type="local">MAP20070000012</identifier>
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<text>29/12/2021 Número 27 Epoca 4ª época - 2021 , p. 161-183</text>
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