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

4.4. Applications
Pure Savings
-5 0 5
Comp. 1
Comp. 2
end.month04
end.month07
end.month10
duration.rangelow.duration
duration.rangemiddle.duration
underwritingAge.range2
underwritingAge.range3
(Intercept)
ibex
rate10Y
Comp. 3
Comp. 4
end.month04
end.month07
end.month10
duration.rangelow.duration
duration.rangemiddle.duration
underwritingAge.range2
underwritingAge.range3
(Intercept)
ibex
rate10Y
-5 0 5
Figure 4.15 – Calibrage des coefficients de régression par BIC.
Learning sample (3 months basis),
Pure_savings products (All)
Validation sample (3 months basis),
Pure_savings products (All)
surrender rate
0% 0.5% 1% 1.5% 2% 2.5%
Observed surr. rate
Modeled surr. rate
95 % confidence interval
surrender rate
0% 0.5% 1% 1.5% 2% 2.5%
Observed surr. rate
Modeled surr. rate
95 % confidence interval
2004 2005 2006 2007
2008 2009
date
date
Figure 4.16 – Previsions de taux de rachat trimestriel par mélange de GLMs sélectionné via
BIC.
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