EMP-package: Expected Maximum Profit Classification Performance Measure

In EMP: Expected Maximum Profit Classification Performance Measure

Description

The EMP measure is an alternative to AUC that includes the expected profit of a given model, when compared to a baseline (no model used). Presented in Verbraken et al. (2014) as a preferred measure for credit risk scoring in any profit-driven environment and in Verbraken et al. (2013) as a measure for customer churn prediction. For credit scoring, this implementation assumes an LGD distribution with two point masses, and a constant ROI. For churn prediction, this implementation assumes a beta distribution and a constant CLV.

Details

Package:	EMP
Type:	Package
Version:	2.0.5
Date:	2019-07-24
License:	GPL (>=3)

The package exports only two functions, empCreditScoring and empChurn.

Author(s)

Authors: Cristian Bravo, Seppe vanden Broucke and Thomas Verbraken. Mantainer: Cristian Bravo <[e-mail]>.

References

Verbraken, T., Wouter, V. and Baesens, B. (2013). A Novel Profit Maximizing Metric for Measuring Classification Performance of Customer Churn Prediction Models. Knowledge and Data Engineering, IEEE Transactions on. 25 (5): 961-973. Available Online: http://ieeexplore.ieee.org/iel5/69/6486492/06165289.pdf?arnumber=6165289 Verbraken, T., Bravo, C., Weber, R. and Baesens, B. (2014). Development and application of consumer credit scoring models using profit-based classification measures. European Journal of Operational Research. 238 (2): 505 - 513. Available Online: http://www.sciencedirect.com/science/article/pii/S0377221714003105

Examples

# Construct artificial probability scores and true class labels
score.ex <- runif(1000, 0, 1)
class.ex <- unlist(lapply(score.ex, function(x){rbinom(1,1,x)}))

# Calculate EMP measures for credit risk scoring
empCreditScoring(score.ex, class.ex)

# Calculate EMP measures for customer churn prediction
empChurn(score.ex, class.ex)

Example output

Loading required package: ROCR
Loading required package: gplots

Attaching package: 'gplots'

The following object is masked from 'package:stats':

    lowess

$EMPC
[1] 0.09107925

$EMPCfrac
[1] 0.2827014

$MP
[1] 21.839

$MPfrac
[1] 0.786

$EMP
[1] 21.93072

$EMPfrac
[1] 0.818526

EMP documentation built on July 25, 2019, 1:03 a.m.