[ABE-L] Ciclo de Palestras - PPGE-IM/UFRJ - 04 de SETEMBRO

[Maria Eulalia Vares]

Prezados colegas,

A nossa próxima palestra ocorrerá na quarta-feira, 4 de setembro, no
horário das 15h30 às 17h00, Local: Laboratório de Sistemas Estocásticos
(LSE), Sala I-044-B, Centro de Tecnologia - UFRJ.

Detalhes do seminário seguem abaixo.

*Palestrante*: Viviana Lobo (IM/UFRJ)
*Título*:  Lapse risk modelling in insurance: a Bayesian mixture approach
*Resumo*:  This paper 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 censoring 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 datasets
of over millions of clients. An illustrative example emulates a typical
behaviour for life insurance contracts and a simulated study investigates
the properties of the proposed model. A case study is considered and
illustrates the flexibility of our proposed model allowing different
specifications of mixture components In particular, the observed censoring
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.

Mais informações podem ser encontradas no site:
https://www.dme.ufrj.br/?page_id=3579.

Organizadores: Maria Eulalia Vares e Widemberg S Nobre

Atenciosamente,


-- 
Maria Eulalia Vares
Professora Titular - Instituto de Matemática - UFRJ
Coordenadora do Programa de Pós-Graduação em Estatística
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