T. Widiharih, Agus Rusgiyono, S. Sudarno, Bagus Arya Saputra
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引用次数: 0
摘要
金融机构使用信用评分分析来预测客户违约的概率。在本文中，我们使用 Kaplan-Meier 和 Nelson-Aalen 等非参数生存分析法来确定违约概率。该分析基于生存函数曲线、累积危害函数曲线、平均生存时间和估计值的标准误差。Kaplan Meier 和 Nelson Aalen 估计器的生存函数曲线相对相同。根据累积危害函数曲线、平均存活时间和标准误差，纳尔逊-阿伦估计值略高于卡普兰-迈尔估计值。
KAPLAN-MEIER AND NELSON-AALEN ESTIMATORS FOR CREDIT SCORING
Financial institutions use credit scoring analysis to predict the probability that a customer will default. In this paper, we determine the probability of default using nonparametric survival analysis that are Kaplan-Meier and Nelson-Aalen. The analysis is based on survival function curves, cumulative hazard function curves, mean survival time, and standard error of estimators. Based on the curves of survival function for both Kaplan Meier and Nelson Aalen estimators relatively the same. Based on the curves of cumulative hazard function, mean survival time, and standard error the Nelson-Aalen estimators are slightly higher than Kaplan-Meier.
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