An explainable data-driven decision support framework for strategic customer development

Financial institutions benefit from the advanced predictive performance of machine learning algorithms in automatic decision-making for credit scoring. However, two main challenges hamper machine learning algorithms’ applicability in practice: the complex and black-box nature of algorithms that hinder their understandability and the inability to guide rejected customers to have a successful application. Regarding customer relationship management is one of the main responsibilities of financial institutions; they must clarify the decision-making process to guide them. However, financial institutions are not willing to disclose their decision-making procedure to prevent potential risks from customers or competitors side. Hence, in this study, a decision support framework is proposed to clarify the decision-making process and model strategic decision-making to guide rejected customers simultaneously. To do so, after classifying customers in their corresponding groups, the capability of Shapley additive exPlanations method is exploited to extract the most impactful features to the prediction’s outcome globally and locally. Then, based on the benchmarking approach, the equivalent approved peer is found for the rejected customer for target setting to modify the application. To find the optimal modified values for a counterfactual prediction, a multi-objective gamed-based counterfactual explanation model is developed using the prisoner’s dilemma game as the constraint to simulate strategic decision-making. After optimization, the decision is reported to the customers concerning the credential background. A public data set is used to elaborate on the proposed framework. This framework can generate counterfactual predictions successfully by modifying perspective features.