EMP-package {EMP}R Documentation

Expected Maximum Profit Classification Performance Measure


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.


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

The package exports only two functions, empCreditScoring and empChurn.


Authors: Cristian Bravo, Seppe vanden Broucke and Thomas Verbraken. Mantainer: Cristian Bravo <cbravoro@uwo.ca>.


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


# 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)

[Package EMP version 2.0.5 Index]