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

4.4. Applications
Unit-Link
-15 -10 -5 0 5
Comp. 1
Comp. 2 Comp. 3
end.month04
end.month07
end.month10
duration.rangelow.duration
duration.rangemiddle.duration
riskPrem.rangelow.risk.premium
riskPrem.rangemiddle.risk.premium
(Intercept)
ibex
Comp. 4 Comp. 5
Comp. 6
end.month04
end.month07
end.month10
duration.rangelow.duration
duration.rangemiddle.duration
riskPrem.rangelow.risk.premium
riskPrem.rangemiddle.risk.premium
(Intercept)
ibex
-15 -10 -5 0 5
-15 -10 -5 0 5
Figure 4.11 – Calibrage des coefficients de régression par BIC.
Observed surr. rate
Modeled surr. rate
95 % confidence interval
Learning sample (3 months basis),
Unit-Link products (All)
Observed surr. rate
Modeled surr. rate
95 % confidence interval
Validation sample (3 months basis),
Unit-Link products (All)
surrender rate
0% 2% 4% 6% 8%
surrender rate
0% 2% 4% 6% 8%
2000 2001 2002 2003 2004 2005
date
2006 2007 2008
date
Figure 4.12 – Previsions de taux de rachat trimestriel par mélange de GLMs sélectionné via
BIC.
165