Learning Survival Models with Right-Censored Reporting Delays
This addresses a specific problem in the insurance industry for risk assessment with reporting delays, representing an incremental improvement over existing survival analysis methods.
The paper tackles the challenge of adjusting for reporting delays in survival analysis under practical constraints like administrative censoring, which is critical for insurance risk evaluation of newly enrolled cohorts. The authors propose jointly modeling hazard functions of event occurrences and report timings, developing an estimator and EM algorithm, and demonstrate that their method improves the timeliness of risk evaluation.
Survival analysis is a statistical technique used to estimate the time until an event occurs. Although it is applied across a wide range of fields, adjusting for reporting delays under practical constraints remains a significant challenge in the insurance industry. Such delays render event occurrences unobservable when their reports are subject to right censoring. This issue becomes particularly critical when estimating hazard rates for newly enrolled cohorts with limited follow-up due to administrative censoring. Our study addresses this challenge by jointly modeling the parametric hazard functions of event occurrences and report timings. The joint probability distribution is marginalized over the latent event occurrence status. We construct an estimator for the proposed survival model and establish its asymptotic consistency. Furthermore, we develop an expectation-maximization algorithm to compute its estimates. Using these findings, we propose a two-stage estimation procedure based on a parametric proportional hazards model to evaluate observations subject to administrative censoring. Experimental results demonstrate that our method effectively improves the timeliness of risk evaluation for newly enrolled cohorts.