EMP (version 2.0.0)

EMP-package: 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

ll{ Package: EMP Type: Package Version: 2.0.0 Date: 2015-01-06 License: GPL (>=3) } The package consists of only three functions, empCreditScoring, empChurn and empRocInfo. The empRocInfo returns the convex hull of any ROC function starting from a prediction object (provided by the ROCR package) and is normally not to be called directly, as it is called by the other two functions in order to retrieve EMP measures. See the help pages of each function for details.

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)}))

# Make prediction object (ROCR package)
pred.ex <- prediction(score.ex, class.ex)

# Calculate EMP measures for credit risk scoring
empCreditScoring(pred.ex)

# Calculate EMP measures for customer churn prediction
empChurn(pred.ex)