Neural Network Survival Analysis for Personal Loan Data


Baesens, Bart, Van Gestel, Tony, Stepanova, Maria, Van den Poel, D. and Vanthienen, Jan (2005) Neural Network Survival Analysis for Personal Loan Data. Journal of the Operational Research Society, 59, (9), 1089-1098. (doi:10.1057/palgrave.jors.2601990).

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Description/Abstract

Traditionally, credit scoring aimed at distinguishing good payers from bad payers at the time of the application. The timing when customers default is also interesting to investigate since it can provide the bank with the ability to do profit scoring. Analysing when customers default is typically tackled using survival analysis. In this paper, we discuss and contrast statistical and neural network approaches for survival analysis. Compared to the proportional hazards model, neural networks may offer an interesting alternative because of their universal approximation property and the fact that no baseline hazard assumption is needed.

Several neural network survival analysis models are discussed and evaluated according to their way of dealing with censored observations, time-varying inputs, the monotonicity of the generated survival curves and their scalability. In the experimental, we contrast the performance of a neural network survival analysis model with that of the proportional hazards model for predicting both loan default and early repayment using data from a U.K. financial institution.

Item Type: Article
ISSNs: 0160-5682 (print)
Related URLs:
Keywords: credit scoring, survival analysis, neural networks
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HA Statistics
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 36752
Date Deposited: 23 May 2006
Last Modified: 27 Mar 2014 18:23
Contact Email Address: B.M.M.Baesens@soton.ac.uk
URI: http://eprints.soton.ac.uk/id/eprint/36752

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