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Courbes de performances, de sélection et de discrimination

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  • Christian Gouriéroux

Abstract

We introduce an ordering on the scoring functions used in credit and insurance problems; this ordering corresponds to the idea of a more precise selection of the customers. It is naturally based on the comparison of some curves, called performance, selection and discrimination curves. Various results are described concerning this ordering and the practical use of the associated curves.

Suggested Citation

  • Christian Gouriéroux, 1992. "Courbes de performances, de sélection et de discrimination," Annals of Economics and Statistics, GENES, issue 28, pages 107-123.
    • Handle: RePEc:adr:anecst:y:1992:i:28:p:107-123
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    File URL: http://www.jstor.org/stable/20075886
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    Cited by:

    1. Denuit, Michel & Sznajder, Dominik & Trufin, Julien, 2019. "Model selection based on Lorenz and concentration curves, Gini indices and convex order," LIDAM Discussion Papers ISBA 2019006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Denuit, Michel & Sznajder, Dominik & Trufin, Julien, 2019. "Model selection based on Lorenz and concentration curves, Gini indices and convex order," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 128-139.

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