Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/139746
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- Title
- Analysis of mortgage insurance data by mixture models
- Related
- Higher Degree Research Expo (6th : 2010) (19 November 2010 : Sydney)
- Related
- Expo 2010 Higher Degree Research : book of abstracts, p.87
- Related
- http://www.businessandeconomics.mq.edu.au/research_expo/website_administration/2010_expo_presenter_profiles2/liang_wang
- Publisher
- North Ryde, N.S.W : Faculty of Business and Economics, Macquarie University
- Date
- 2010
- Author/Creator
- Wang, Liang
- Description
- Purpose: This paper demonstrates how mixture survival models can be applied to analyse mortgage insurance data that include default-prone and default-free loans, assess risk factors, and predict default rate. Originality: Although with proven advantages, mixture survival models have not previously been applied to mortgage insurance or other general insurance products with large numbers of default-free policies. Key literature / theoretical perspective: Mixture models have the flexibility of isolating default-free policies from the estimation of the survival function for the default-prone policies. Design/methodology/approach: We provide examples to identify and analyse the effects of two commonly used risk factors using the likelihood-ratio test and improper proportional hazard (PH) models. Moreover, given a set of plausible parametric models, we show how to select the best one based on the goodness of fit and model complexity. Findings: After applying both parametric and non-parametric estimation methods, we propose a Weibull mixture model for the survival function for default-prone policies. Research limitations/implications: The methodology applied in this research is ready to be extended to any other credit risk modelling. Practical and Social implications: Mortgage default is a crucial issue in assessing financial and insurance risks. It is well known that a large scale of mortgage defaults was the root of the sub-prime loan problems and the subsequent global financial crisis.
- Description
- 1 page(s)
- Subject Keyword
- mortgage insurance
- Subject Keyword
- survival models
- Subject Keyword
- long-term survivors
- Subject Keyword
- Cox PH model
- Resource Type
- conference paper abstract
- Organisation
- Macquarie University. Dept. of Accounting and Finance
- Identifier
- http://hdl.handle.net/1959.14/139746
- Identifier
- ISSN:1837-9214
- Identifier
- mq-rm-2010005505
- Language
- eng
