I have a model which calculates the risk of default on several essentially independent metrics. These are default probabilities between 0 to 1. 1 implying a high risk of default.
Now I wish to combine these scores into a single score. I naively started using an average of all scores but that doesn't give me the desired behavior when one score is very high and the others are low.
i.e. Say the component scores are 0.1,0.1, and 0.999. Essentially I want the aggregate score in this case to be close to 0.999 as well.
What might be a clean functional form to get this sort of behavior? i.e. When individual scores are low an average score is OK but when any one score shoots above a threshold value that score ought to dominate the aggregate.
PS. If someone has an R idiom for this then I am even happier.