Conferencias
Francisco Louzada
Instituto de Ciências Matemáticas e de Computação (ICMC-USP), Brazil
In this paper we propose a new non-default rate survival model. Our approach enables different underlying activation mechanisms, which lead to the event of interest. The number of competing causes, which may be responsible for the occurrence of the event of interest, is assumed to follow a geometric distribution while the time to event is assumed to follow a inverse Weibull distribution. As an advantage our approach may scan all underlying activation mechanisms from the first to last one based on order statistics. We explore the use of maximum likelihood estimation procedure. Simulation studies are performed and experimental results are illustrated based on a real Brazilian bank personal loan portfolio data. The research is co-authored by Vicente G. Cancho and Gladys D. C. Barriga.
