JointLIME: An interpretation method for machine learning survival models with endogenous time‐varying covariates in credit scoring

In this work, we introduce JointLIME, a novel interpretation method for explaining black-box survival (BBS) models with endogenous time-varying covariates (TVCs). Existing interpretation methods, like SurvLIME, are limited to BBS models only with time-invariant covariates. To fill this gap, JointLIME leverages the Local Interpretable Model-agnostic Explanations (LIME) framework to apply the joint model to approximate the survival functions predicted by the BBS model in a local area around a new individual. To achieve this, JointLIME minimizes the distances between survival functions predicted by the black-box survival model and those derived from the joint model. The outputs of this minimization problem are the coefficient values of each covariate in the joint model, serving as explanations to quantify their impact on survival predictions. JointLIME uniquely incorporates endogenous TVCs using a spline-based model coupled with the Monte Carlo method for precise estimations within any specified prediction period. These estimations are then integrated to formulate the joint model in the optimization problem. We illustrate the explanation results of JointLIME using a US mortgage data set and compare them with those of SurvLIME.