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

4.4. Applications
Structured Products
-30 -20 -10 0 10
Comp. 1
Comp. 2
(Intercept)
ibex
Comp. 3
Comp. 4
(Intercept)
ibex
-30 -20 -10 0 10
Figure 4.19 – Calibrage des coefficients de régression par BIC.
Learning sample (3 months basis),
Structured_products products (All)
Validation sample (3 months basis),
Structured_products products (All)
surrender rate
0% 0.5% 1% 1.5% 2% 2.5% 3% 3.5%
Observed surr. rate
Modeled surr. rate
95 % confidence interval
surrender rate
0% 0.5% 1% 1.5% 2% 2.5% 3% 3.5%
Observed surr. rate
Modeled surr. rate
95 % confidence interval
2004 2005 2006 2007
2008
date
date
Figure 4.20 – Previsions de taux de rachat trimestriel par mélange de GLMs sélectionné via
BIC.
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