Extend Hazard Rates — extend

Extends the estimated hazard rates up to a specified end time using constant, geometric, or linear extrapolation, with the (all-cause) hazard at end set to 1. It is used by calculate_apv() and solve_irr() when the observed lifetime support does not reach the original loan term.

Usage

extend_hazard(
  x,
  end = 72,
  type = c("constant", "geometric", "linear"),
  end_event = "Prepayment"
)

# S3 method for class 'alife'
extend_hazard(
  x,
  end = 72,
  type = c("constant", "geometric", "linear"),
  end_event = "Prepayment"
)

# S3 method for class 'alife_multi'
extend_hazard(
  x,
  end = 72,
  type = c("constant", "geometric", "linear"),
  end_event = "Prepayment"
)

Arguments

x: An object of class alife or alife_multi.
end: A numeric scalar indicating the target end time for the support. Typically, the original loan term. Must be greater than the largest observed lifetime.
type: A character string specifying the extrapolation type: either "constant" (default), "geometric" or "linear".
end_event: A string indicating the event that absorbs the remaining probability at end (i.e., its hazard at end is one minus the default hazard, so that termination at end is certain). Only used when x is of class alife_multi.

Value

An object of the same class as x with the extended lifetime support.

Details

The last observed time point is replaced: the extrapolation starts from the hazard at the second-to-last observed time point.