Mélanges de GLMs et nombre de composantes : application ... - Scor
Mélanges de GLMs et nombre de composantes : application ... - Scor
Mélanges de GLMs et nombre de composantes : application ... - Scor
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Chapitre 4. Sélection <strong>de</strong> mélange <strong>de</strong> <strong>GLMs</strong><br />
-5 0 5<br />
end.month04<br />
end.month07<br />
end.month10<br />
duration.rangelow.duration<br />
duration.rangemiddle.duration<br />
PB.guaranteewithout_PB<br />
(Intercept)<br />
rate10Y<br />
riskPrem.rangelow.risk.premium<br />
Comp. 1<br />
Comp. 2 Comp. 3<br />
riskPrem.rangemiddle.risk.premium<br />
Comp. 4<br />
Comp. 5<br />
end.month04<br />
end.month07<br />
end.month10<br />
duration.rangelow.duration<br />
duration.rangemiddle.duration<br />
PB.guaranteewithout_PB<br />
(Intercept)<br />
rate10Y<br />
riskPrem.rangelow.risk.premium<br />
riskPrem.rangemiddle.risk.premium<br />
-5 0 5<br />
Figure 4.5 – Calibrage <strong>de</strong>s coefficients <strong>de</strong> régression par ICL.<br />
Learning sample (3 months basis),<br />
Mixtos products (All)<br />
Validation sample (3 months basis),<br />
Mixtos products (All)<br />
surren<strong>de</strong>r rate<br />
0% 5% 10% 15% 20%<br />
Observed surr. rate<br />
Mo<strong>de</strong>led surr. rate<br />
95 % confi<strong>de</strong>nce interval<br />
surren<strong>de</strong>r rate<br />
0% 5% 10% 15% 20%<br />
Observed surr. rate<br />
Mo<strong>de</strong>led surr. rate<br />
95 % confi<strong>de</strong>nce interval<br />
2000 2001 2002 2003 2004 2005<br />
2006 2007 2008<br />
date<br />
date<br />
Figure 4.6 – Previsions <strong>de</strong> taux <strong>de</strong> rachat trimestriel par mélange <strong>de</strong> <strong>GLMs</strong> sélectionné via<br />
ICL.<br />
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