Calculate measures of model predictive accuracy (e.g., Lift, Gini index, AUROC).

Free CAS MAS-II (Modern Actuarial Statistics II) lesson in Statistical Learning. 14 min read, ~2,081 words.

AUROC is the probability that a random positive scores higher than a random negative. Range; 0.5 is random, 1.0 is perfect, 0.7 to 0.8 is the typical insurance band. Gini coefficient for a binary classifier. Range; also defined geometrically as twice the area between the Lorenz curve and the equality...