The zero-inflated promotion cure rate model applied to financial data on time-to-default

Mauro Oliveira Jr, Fernando Moreira, Francisco Louzada

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

In this paper, we extend the promotion cure rate model studied in Yakovlev & Tsodikov [20] and Chen et al. [5] by incorporating an excess of zeros in the modeling. Despite relating covariates to the cure fraction, the current approach does not enable us to relate covariates to the fraction of zeros. The presence of excess of zeros in credit risk survival data stems from a group of loans that became defaulted shortly after the granting process. Through our proposal, all survival data available of customers is modeled with a multinomial logistic link for the three classes of banking customers: (i) individual with an event at the starting time (zero time); (ii) non-susceptible for the event, or (iii) susceptible for the event. The model parameter estimation is reached by the maximum likelihood estimation procedure and Monte Carlo simulations are carried out to assess its finite sample performance.
Original languageEnglish
Article number1395950
JournalCogent Economics and Finance
Issue number1
Early online date3 Nov 2017
Publication statusE-pub ahead of print - 3 Nov 2017

Keywords / Materials (for Non-textual outputs)

  • non-default rate models
  • portfolios
  • promotion cure
  • zero-inflated
  • Weibull


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