In many real world applications type I (false positive) and type II (false negative) errors have to be dealt with separately, which is a complex problem since an attempt to minimize one of them usually makes the other grow. In fact, a type of error can be more important than the other, and a trade-off that minimizes the most important error type must be reached. In the case of the bankruptcy prediction problem the error type II is of greater importance, being unable to identify that a company is at risk causes problems to creditors and slows down the taking of measures that may solve the problem. Despite the importance of type II errors, most bankruptcy prediction methods take into account only the global classification error. In this paper we propose and compare two methods to optimize both error types in classification: artificial neural networks and function trees ensembles created through multiobjective optimization. Since the multiobjective optimization process produces a set of equally optimal results (Pareto front) the classification of the test patterns in both cases is based on the non-dominated solutions acting as an ensemble. The experiments prove that, although the best classification rates are obtained using the artificial neural network, the multiobjective genetic programming model is able to generate comparable results in the form of an analytical function.