Fusion classification for risk categorization in underwriting a financial risk instrument

Abstract

A system, process and computer program product for underwriting a financial risk instrument application represented by at least one risk attribute is provided. Decision engines examine the at least one risk attribute associated with the financial risk instrument application and assign the application to one of a predetermined set of risk classes. A fusion engine compares the risk classes assigned by each of the decision engines and fuses the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application. The fusion engine includes a first multi-classifier fusion module that uses an associative function to fuse the assigned risk classes into a first aggregated result and a second multi-classifier fusion that uses a non-associative function to fuse the assigned risk classes into a second aggregated result. A comparison engine selects one of the first aggregated result generated from the first multi-classifier fusion module and the second aggregated result generated from the second multi-classifier fusion module and compares it with a production result generated from the production decision engine. The comparison engine generates an underwriting decision for the financial risk instrument application according to the comparison.

1 . A system for underwriting a financial risk instrument application represented by at least one risk attribute, comprising: 
 a plurality of decision engines that each examines the at least one risk attribute associated with the financial risk instrument application and assigns the application to one of a predetermined set of risk classes;    a fusion engine that compares the risk classes assigned by each of the plurality of decision engines and fuses the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusion engine comprises a first multi-classifier fusion module that uses an associative function to fuse the assigned risk classes into a first aggregated result and a second multi-classifier fusion that uses a non-associative function to fuse the assigned risk classes into a second aggregated result;    a production decision engine that assigns the financial risk instrument application to one of a predetermined set of risk classes according to the at least one risk attribute associated with the application and generates a production result representative of the risk of the application; and    a comparison engine that selects one of the first aggregated result generated from the first multi-classifier fusion module and the second aggregated result generated from the second multi-classifier fusion module and compares with the production result generated from the production decision engine, the comparison engine generating an underwriting decision for the financial risk instrument application according to the comparison.    
     
     
         2 . The system according to  claim 1 , further comprising a fusion confidence estimation engine that estimates a degree of confidence in the aggregated result of the fusion engine, wherein the fusion confidence estimation engine estimates a degree of confidence in the first aggregated result generated from the first multi-classifier fusion module and a degree of confidence in the second aggregated result generated from the second multi-classifier fusion module.  
     
     
         3 . The system according to  claim 2 , wherein the comparison engine uses the estimated degree of confidences to select between the first aggregated result generated from the first multi-classifier fusion module and the second aggregated result generated from the second multi-classifier fusion module.  
     
     
         4 . The system according to  claim 1 , further comprising a production confidence estimation engine that estimates a degree of confidence in the production result generated from the production decision engine.  
     
     
         5 . The system according to  claim 1 , further comprising a comparison confidence estimation engine that estimates a degree of confidence in the underwriting decision made for the financial risk instrument application by the comparison engine.  
     
     
         6 . The system according to  claim 1 , wherein the associative function used by the first multi-classifier fusion module comprises triangular norm operators.  
     
     
         7 . The system according to  claim 1 , wherein the non-associative function used by the second multi-classifier fusion module comprises convex combination and averaging operators.  
     
     
         8 . A system for underwriting a financial risk instrument application represented by at least one risk attribute, comprising: 
 a plurality of decision engines that each examines the at least one risk attribute associated with the financial risk instrument application and assigns a preference from a set of predetermined risk classes for the application, wherein the preference of risk classes provides a conviction in applicability of each risk class assigned to the financial risk instrument application;    a fusion engine that compares the preferences of risk classes generated by each of the plurality of decision engines and fuses the preferences of risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusion engine comprises a first multi-classifier fusion module that uses an associative function to fuse the preferences of risk classes into a first aggregated result and a second multi-classifier fusion that uses a non-associative function to fuse the preferences of risk classes into a second aggregated result;    a production decision engine that assigns the financial risk instrument application to a preference from a set of predetermined risk classes according to the at least one risk attribute associated with the application and generates a production result representative of the risk of the application; and    a comparison engine that selects one of the first aggregated result generated from the first multi-classifier fusion module and the second aggregated result generated from the second multi-classifier fusion module and compares with the production result generated from the production decision engine, the comparison engine generating an underwriting decision for the financial risk instrument application according to the comparison.    
     
     
         9 . The system according to  claim 8 , further comprising a fusion confidence estimation engine that estimates a degree of confidence in the aggregated result of the fusion engine, wherein the fusion confidence estimation engine estimates a degree of confidence in the first aggregated result generated from the first multi-classifier fusion module and a degree of confidence in the second aggregated result generated from the second multi-classifier fusion module.  
     
     
         10 . The system according to  claim 9 , wherein the comparison engine uses the estimated degree of confidences to select between the first aggregated result generated from the first multi-classifier fusion module and the second aggregated result generated from the second multi-classifier fusion module.  
     
     
         11 . The system according to  claim 8 , further comprising a production confidence estimation engine that estimates a degree of confidence in the production result generated from the production decision engine.  
     
     
         12 . The system according to  claim 8 , further comprising a comparison confidence estimation engine that estimates a degree of confidence in the underwriting decision made for the financial risk instrument application made by the comparison engine.  
     
     
         13 . A computer-implemented process for underwriting a financial risk instrument application represented by at least one risk attribute, comprising: 
 examining the at least one risk attribute associated with the financial risk instrument application with a plurality of decision engines;    using each decision engine to assign the application to one of a set of predetermined risk classes;    fusing the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusing comprises: 
 applying an associative function to fuse the assigned risk classes into a first aggregated result; and  
 applying a non-associative function to fuse the assigned risk classes into a second aggregated result;  
   selecting one of the first aggregated result and the second aggregated result;    comparing the selected aggregated result with a production result generated from a production decision engine, and    generating an underwriting decision for the financial risk instrument application according to the comparison of the selected aggregated result with the production result.    
     
     
         14 . The process according to  claim 13 , further comprising estimating a degree of confidence in the first aggregated result and in the second aggregated result.  
     
     
         15 . The process according to  claim 14 , wherein the selecting comprises comparing the estimated degree of confidences associated with the first aggregated result and the second aggregated result.  
     
     
         16 . The process according to  claim 13 , further comprising estimating a degree of confidence in the underwriting decision made for the financial risk instrument application.  
     
     
         17 . The process according to  claim 13 , wherein the associative function comprises triangular norm operators.  
     
     
         18 . The process according to  claim 13 , wherein the non-associative function comprises convex combination and averaging operators.  
     
     
         19 . A computer-implemented process for underwriting a financial risk instrument application represented by at least one risk attribute, comprising: 
 examining the at least one risk attribute associated with the financial risk instrument application with a plurality of decision engines;    using each decision engine to assign a preference from a set of predetermined risk classes for the application, wherein the preference of risk classes provides a conviction in applicability of each risk class assigned to the financial risk instrument application;    fusing the preferences of risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusing comprises: 
 applying an associative function to fuse the preferences of risk classes into a first aggregated result; and  
 applying a non-associative function to fuse the preferences of risk classes into a second aggregated result;  
   selecting one of the first aggregated result and the second aggregated result;    comparing the selected aggregated result with a production result generated from a production decision engine, and    generating an underwriting decision for the financial risk instrument application according to the comparison of the selected aggregated result with the production result.    
     
     
         20 . The process according to  claim 19 , further comprising estimating a degree of confidence in the first aggregated result and in the second aggregated result.  
     
     
         21 . The process according to  claim 20 , wherein the selecting comprises comparing the estimated degree of confidences associated with the first aggregated result and the second aggregated result.  
     
     
         22 . The process according to  claim 19 , further comprising estimating a degree of confidence in the underwriting decision made for the financial risk instrument application.  
     
     
         23 . A computer-readable medium storing computer instructions for instructing a computer system to underwrite a financial risk instrument application represented by at least one risk attribute, the instructions comprising: 
 examining the at least one risk attribute associated with the financial risk instrument application with a plurality of decision engines;    using each decision engine to assign the application to a one of a set of predetermined risk classes;    fusing the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusing comprises: 
 applying an associative function to fuse the assigned risk classes into a first aggregated result; and  
 applying a non-associative function to fuse the assigned risk classes into a second aggregated result;  
   selecting one of the first aggregated result and the second aggregated result;    comparing the selected aggregated result with a production result generated from a production decision engine, and    generating an underwriting decision for the financial risk instrument application according to the comparison of the selected aggregated result with the production result.    
     
     
         24 . The computer-readable medium according to  claim 23  further comprising instructions for estimating a degree of confidence in the first aggregated result and in the second aggregated result.  
     
     
         25 . The computer-readable medium according to  claim 24 , wherein the selecting comprises instructions for comparing the estimated degree of confidences associated with the first aggregated result and the second aggregated result.  
     
     
         26 . The computer-readable medium according to  claim 23 , further comprising instructions for estimating a degree of confidence in the underwriting decision made for the financial risk instrument application.  
     
     
         27 . The computer-readable medium according to  claim 23 , wherein the associative function comprises triangular norm operators.  
     
     
         28 . The computer-readable medium according to  claim 23 , wherein the non-associative function comprises convex combination and averaging operators.  
     
     
         29 . A computer-readable medium storing computer instructions for instructing a computer system to underwrite a financial risk instrument application represented by at least one risk attribute, the instructions comprising: 
 examining the at least one risk attribute associated with the financial risk instrument application with a plurality of decision engines;    using each decision engine to assign a preference from a set of predetermined risk classes for the application, wherein the preference of risk classes provides a conviction in applicability of each risk class assigned to the financial risk instrument application;    fusing the preferences of risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusing comprises: 
 applying an associative function to fuse the preferences of risk classes into a first aggregated result; and  
 applying a non-associative function to fuse the preferences of risk classes into a second aggregated result;  
   selecting one of the first aggregated result and the second aggregated result;    comparing the selected aggregated result with a production result generated from a production decision engine, and    generating an underwriting decision for the financial risk instrument application according to the comparison of the selected aggregated result with the production result.    
     
     
         30 . The computer-readable medium according to  claim 29 , further comprising instructions for estimating a degree of confidence in the first aggregated result and in the second aggregated result.  
     
     
         31 . The computer-readable medium according to  claim 30 , wherein the selecting comprises instructions for comparing the estimated degree of confidences associated with the first aggregated result and the second aggregated result.  
     
     
         32 . The computer-readable medium according to  claim 29 , further comprising instructions for estimating a degree of confidence in the underwriting decision made for the financial risk instrument application.  
     
     
         33 . A system for underwriting a financial risk instrument application represented by at least one risk attribute, comprising: 
 a plurality of decision engines that each examines the at least one risk attribute associated with the financial risk instrument application and assigns the application to one of a predetermined set of risk classes;    a fusion engine that compares the risk classes assigned by each of the plurality of decision engines and fuses the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusion engine comprises a first multi-classifier fusion module that uses an associative function to fuse the assigned risk classes into a first aggregated result and a second multi-classifier fusion that uses a non-associative function to fuse the assigned risk classes into a second aggregated result; and    a comparison engine that selects between the first aggregated result generated from the first multi-classifier fusion module and the second aggregated result generated from the second multi-classifier fusion module, the selected result being representative of an underwriting decision for the financial risk instrument application.    
     
     
         34 . A computer-implemented process for underwriting a financial risk instrument application represented by at least one risk attribute, comprising: 
 examining the at least one risk attribute associated with the financial risk instrument application with a plurality of decision engines;    using each decision engine to assign the application to one of a set of predetermined risk classes;    fusing the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusing comprises: 
 applying an associative function to fuse the assigned risk classes into a first aggregated result; and  
 applying a non-associative function to fuse the assigned risk classes into a second aggregated result;  
   selecting between the first aggregated result and the second aggregated result; and    generating an underwriting decision for the financial risk instrument application according to the selected aggregated result.    
     
     
         35 . A computer-readable medium storing computer instructions for instructing a computer system to underwrite a financial risk instrument application represented by at least one risk attribute, the instructions comprising: 
 examining the at least one risk attribute associated with the financial risk instrument application with a plurality of decision engines;    using each decision engine to assign the application to a one of a set of predetermined risk classes;    fusing the assigned risk classes into an aggregated result representative of the risk of the financial risk instrument application, wherein the fusing comprises: 
 applying an associative function to fuse the assigned risk classes into a first aggregated result; and  
 applying a non-associative function to fuse the assigned risk classes into a second aggregated result;  
   selecting one of the first aggregated result and the second aggregated result; and    generating an underwriting decision for the financial risk instrument application according to the selected aggregated result.