Metrics for model selection in consumer finance problems

Authors:
Debjit Biswas;Babu Narayanan;Ramasubramanian Sundararajan
Affiliations:
Computing & Decision Sciences Lab, GE India Technology Centre Pvt. Ltd., Bangalore, India;Computing & Decision Sciences Lab, GE India Technology Centre Pvt. Ltd., Bangalore, India;Computing & Decision Sciences Lab, GE India Technology Centre Pvt. Ltd., Bangalore, India
Venue:
AI'05 Proceedings of the 18th Australian Joint conference on Advances in Artificial Intelligence
Year:
2005

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Abstract

We consider the issue of model selection for some prediction problems in consumer finance. In particular, we look at performance metrics in the context of classification problems. Example areas considered include response modeling, profitability modeling and default prediction in the framework of a customer relationship management (CRM) system. We propose some guidelines for choosing the appropriate performance measure for the predictive model based on the decision framework it is part of.