Mélanges de GLMs et nombre de composantes : application ... - Scor

4.4. Applications
Ahorro
end.month04
end.month07
end.month10
duration.rangelow.duration
duration.rangemiddle.duration
underwritingAge.range2
underwritingAge.range3
premium.frequencyperiodic
premium.frequencyunique
PB.guaranteewithout_PB
(Intercept)
rate10YIncrease
-8 -6 -4 -2 0 2
Comp. 1
Comp. 2 Comp. 3
Comp. 5 Comp. 6
Comp. 7
-8 -6 -4 -2 0 2
Comp. 4
end.month04
end.month07
end.month10
duration.rangelow.duration
duration.rangemiddle.duration
underwritingAge.range2
underwritingAge.range3
premium.frequencyperiodic
premium.frequencyunique
PB.guaranteewithout_PB
(Intercept)
rate10YIncrease
-8 -6 -4 -2 0 2
-8 -6 -4 -2 0 2
Figure 4.7 – Calibrage des coefficients de régression par BIC.
Observed surr. rate
Modeled surr. rate
95 % confidence interval
Learning sample (3 months basis),
Ahorro products (All)
Observed surr. rate
Modeled surr. rate
95 % confidence interval
Validation sample (3 months basis),
Ahorro products (All)
surrender rate
0% 1% 2% 3% 4%
surrender rate
0% 1% 2% 3% 4%
2000 2001 2002 2003 2004 2005
date
2006 2007 2008
date
Figure 4.8 – Previsions de taux de rachat trimestriel par mélange de GLMs sélectionné via
BIC.
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