Auto-calibration tests for discrete finite regression functions

DOI10.1007/S13385-025-00410-1MaRDI QIDQ6984888zbMATH OpenFDO

Authors Mario V. Wüthrich

Publication date 14 May 2025

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S13385-025-00410-1

zbMATH Keywords

area between the curvesauto-calibrationconcentration curveLorenz curve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites work

• Autocalibration and Tweedie-dominance for insurance pricing with machine learning
• Generic Conditions for Forecast Dominance
• Honest calibration assessment for binary outcome predictions
• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• Model selection with Gini indices under auto-calibration
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Testing for auto-calibration with Lorenz and concentration curves

Cited in

(1)

• Another look at the zero integral difference between Lorenz and concentration curves in supervised learning

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