A Dirichlet process mixture regression model for the analysis of competing risk events

Francesco Ungolo (Corresponding author), Edwin R. van den Heuvel

Research output: Contribution to journalArticleAcademicpeer-review

7 Downloads (Pure)

Abstract

We develop a regression model for the analysis of competing risk events. The joint distribution of the time to these events is flexibly characterized by a random effect which follows a discrete probability distribution drawn from a Dirichlet Process, explaining their variability. This entails an additional layer of flexibility of this joint model, whose inference is robust with respect to the misspecification of the distribution of the random effects. The model is analysed in a fully Bayesian setting, yielding a flexible Dirichlet Process Mixture model for the joint distribution of the time to events. An efficient MCMC sampler is developed for inference. The modelling approach is applied to the empirical analysis of the surrending risk in a US life insurance portfolio previously analysed by Milhaud and Dutang (2018). The approach yields an improved predictive performance of the surrending rates.

Original languageEnglish
Pages (from-to)95-113
Number of pages19
JournalInsurance: Mathematics and Economics
Volume116
DOIs
Publication statusPublished - May 2024

Keywords

  • Bayesian analysis
  • Competing risks
  • Dirichlet processes
  • Lapse risk
  • MCMC
  • Survival analysis

Fingerprint

Dive into the research topics of 'A Dirichlet process mixture regression model for the analysis of competing risk events'. Together they form a unique fingerprint.

Cite this