Optimal scoring cutoff policies and efficient frontiers

DOI10.1057/PALGRAVE.JORS.2602021MaRDI QIDQ5694068zbMATH OpenOpenAlexFDO

Authors

Publication date 29 September 2005

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2602021

zbMATH Keywords

cutoff policiesefficient frontiersreceiver operating characteristic (ROC) curvesretail credit portfoliosrisk scores

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Multi-objective and goal programming (90C29)

Recommendations

• Equilibrium and effectiveness of two-parameter scoring rules
• Scoring Rules, Generalized Entropy, and Utility Maximization
• Efficient frontier cutoff policies in credit portfolios
• Asymptotic utilitarianism in scoring rules
• Proper scoring rules for general decision models
• Optimal probability aggregation based on generalized Brier scoring
• Optimal cutpoints for random observations
• Proper scoring rules with general preferences: a dual characterization of optimal reports
• An incentive compatible scoring rule for ordinal judgments of expected utility maximizers

Cited in

(4)

• Credit scoring for profitability objectives
• Loan origination decisions using a multinomial scorecard
• Scoring decisions in the context of economic uncertainty
• The construction of empirical credit scoring rules based on maximization principles

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