Survival analysis of bank loans in the presence of long-term survivors

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Date

2017-04

Authors

Marimo, M
Chimedza, C

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Publisher

South African Statistical Association

Abstract

In this paper we model competing risks, default and early settlement events, in the presence of long term survivors and compare survival and logistic methodologies. Cause specific Cox regression models were fitted and adjustments were made to accommodate a proportion of long term survivors. Methodologies were compared using ROC curves and area under the curves. The results show that survival methods perform better than logistic regression methods when modelling lifetime data in the presence of competing risks and in the presence of long term survivors.

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Keywords

Cause specific, Competing risk, Consumer credit, Proportional hazards

Citation

DHET SOUTH AFRICAN LIST (JANUARY 2017)

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