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

Montserrat Guillen, Jens Perch Nielsen (), Tomas Scheike () and Ana Maria Perez-Marin ()
Additional contact information
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.

No 200604, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

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.

Keywords: Cox model; customer lifetime. (search for similar items in EconPapers)
Pages: 21 pages
Date: 2006-12, Revised 2006-12
New Economics Papers: this item is included in nep-ias
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Citations: View citations in EconPapers (34)

Published in Review of Economics, March 1999, pages 1-23

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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:200604

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