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Time-varying effects when analysing customer lifetime duration, application to the insurance market

Author

Listed:
  • Montserrat Guillen

    () (Faculty of Economics, University of Barcelona.)

  • Jens Perch Nielsen

    () (Festina Lente and University of Copenhagen.)

  • Tomas Scheike

    () (Department of Biostatistics, University of Copenhagen.)

  • Ana Maria Perez-Marin

    () (Faculty of Economics, University of Barcelona.)

Abstract

The Cox model (Cox, 1972) is widely used in customer lifetime duration research, but it assumes that the regression coefficients are time invariant. In order to analyse the temporal covariate effects on the duration times, we propose to use an extended version of the Cox model where the parameters are allowed to vary over time. We apply this methodology to real insurance policy cancellation data and we conclude that the kind of contracts held by the customer and the concurrence of an external insurer in the cancellation influence the risk of the customer leaving the company, but the effect differs as time goes by.

Suggested Citation

  • Montserrat Guillen & Jens Perch Nielsen & Tomas Scheike & Ana Maria Perez-Marin, 2006. "Time-varying effects when analysing customer lifetime duration, application to the insurance market," IREA Working Papers 200604, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
  • Handle: RePEc:ira:wpaper:200604
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    File URL: http://www.ub.edu/irea/working_papers/2006/200604.pdf
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    Cited by:

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    10. Alessandro Maravalle & Peter Claeys, 2010. "Fiscal policy and economic stability: does PIGS stand for Procyclicality In Government Spending?," IREA Working Papers 201015, University of Barcelona, Research Institute of Applied Economics, revised 2010.
    11. Esther Goya & Esther Vayá & Jordi Suriñach, 2012. "“Do intra- and inter-industry spillovers matter? CDM model estimates for Spain”," AQR Working Papers 201207, University of Barcelona, Regional Quantitative Analysis Group, revised Sep 2012.
    12. Fageda, Xavier & Rubio-Campillo, Rafael & Termes-Rifé, Montserrat, 2014. "Determinants of broadband access: Is platform competition always the key variable to success?," Information Economics and Policy, Elsevier, vol. 26(C), pages 58-67.
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    14. Javier Campos & Juan Luis Jiménez & Ancor Suárez-Alemán, 2012. "“Not always sunny in paradise: prices and brand diversity in touristic areas supermarkets”," IREA Working Papers 201211, University of Barcelona, Research Institute of Applied Economics, revised May 2012.
    15. Daniel Albalate del Sol, 2013. "The institutional, economic and social determinants of local government transparency," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 16(1), pages 90-107, March.
    16. Juan Luis Jiménez & Jordi Perdiguero, 2018. "Mergers and difference-in-difference estimator: Why firms do not increase prices?," European Journal of Law and Economics, Springer, vol. 45(2), pages 285-311, April.
    17. Juan Luis Jiménez & Carmen García, 2012. "“Corruption and local politics: does it pay to be a crook?”," IREA Working Papers 201212, University of Barcelona, Research Institute of Applied Economics, revised Jun 2012.
    18. Xavier Fageda & Marta Gonzalez-Aregall, 2012. "“Regulation of Port Charges in Spain: Global versus Local Competition”," IREA Working Papers 201217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2012.
    19. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.

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    Keywords

    Cox model; customer lifetime.;

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