SAS for Finance

Survival curve and covariates

Here is the code for the non-parametric procedure survival and covariates:

PROC LIFETEST Data=Survival_Analysis Plots=(h,ls,lls) Atrisk Outs=Survival_Table; 
   Time tenure*censor(1); 
   ID custid; 
   Test Risk_appetite Fund_performance Inv_potential Inv_involvement AUM Complex_prod Complaints; 
Run; 

This produces the negative log graph, among others:

Figure 6.10: Kaplan-Meier survival estimator with covariates

In Figure 6.10, the negative log of the estimated survivor function passes through the origin and looks a fit case of exponential distribution:

The cumulative hazard is rising exponentially over time. In the ...