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This is a Cohort Study study (also classified as: Quantitative Study).

October 3, 2025Open Access

Towards modelling lifetime default risk: Exploring different subtypes of recurrent event Cox-regression models

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Modelling lifetime default risk indicates incorporating recurrent events improves predictive accuracy.
Analysis of South African mortgage data shows the Andersen-Gill model underperformed compared to expected outcomes.
Cox models were evaluated using various metrics, including Harrell's c-statistic and time-dependent ROC analysis.
Findings imply that exclusion of recurrent defaults can lead to biased PD-estimates, impacting financial buffers.

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This analysis investigates default risk in South African mortgages, suggesting Cox models may enhance predictions by incorporating recurrent events.

Botha et al. (2025) studied this question.

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This analysis investigates default risk in South African mortgages, suggesting Cox models may enhance predictions by incorporating recurrent events.