[ABE-L] [Convite] Seminário do Papos Aleatórios - 06/09/2022

[Patricia Lusie]

Bom dia!

Amanhã, 06/09/2022, às 16hs, receberemos no Papos Aleatórios a professora
Viviana Lobo do Departamento de Métodos Estatísticos da Universidade
Federal do Rio de Janeiro.

*Todos estão convidados!*  *O seminário ocorrerá presencialmente na sala do
LES (IME/UFF - Campus Gragoatá - bloco H - **sala 202**) e será *transmitido
pelo canal do Youtube (www.youtube.com/EstatísticaUFF
<http://www.youtube.com/Estat%C3%ADsticaUFF>).*.*

*Título:*  Lapse risk modelling in insurance: a Bayesian mixture approach

*Resumo:* This work focuses on modelling surrender time for policyholders
in the context of life insurance. In this setup, a large lapse rate at the
first months of a contract is often observed, with a decrease in this rate
after some months. The modelling of the time to cancellation must account
for this specific behaviour. Another stylised fact is that policies which
are not cancelled in the study period are considered censored. To account
for both censuring and heterogeneous lapse rates, this work assumes a
Bayesian survival model with a mixture of regressions. The inference is
based on data augmentation allowing for fast computations even for data
sets of over a million clients. Moreover, scalable point estimation based
on EM algorithm is also presented. An illustrative example emulates a
typical behaviour for life insurance contracts and a simulated study
investigates the properties of the proposed model. In particular, the
observed censuring in the insurance context might be up to 50% of the data,
which is very unusual for survival models in other fields such as
epidemiology. This aspect is exploited in our simulated study.

 Jointly with Thais C O Fonseca (DME-UFRJ) and Mariane B Alves (DME-UFRJ)



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Aguardamos você lá!
Patrícia Lusié

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