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BASEL ADAPTIVE SEGMENTATION HEURISTICS

  • US 20100049665A1
  • Filed: 04/27/2009
  • Published: 02/25/2010
  • Est. Priority Date: 04/25/2008
  • Status: Abandoned Application
First Claim
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1. A system to identify homogeneous risk pools used in the calculation of minimum capital requirements for a number of segments of a population of portfolios, the system comprising:

  • a portfolio segmentation tool comprising;

    an F-ratio objective function engine to calculate an F-ratio objective function representing a probability of a risk event across all of the number of segments of the population; and

    a genetic algorithm-based search engine that receives an input dataset that defines a decision tree structure for the population, maximizes the F-ratio objective function of the risk event to optimize the decision tree structure to group the number of segments according to one or more of the homogeneous risk pools, and generates a score for each homogeneous risk pool.

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