Model selection based on Lorenz and concentration curves, Gini indices and convex order

DOI10.1016/J.INSMATHECO.2019.09.001MaRDI QIDQ2010900zbMATH OpenOpenAlexWikidataFDO

Authors Dominik Sznajder, Julien Trufin, Michel Denuit

Publication date 28 November 2019

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/296514/3/GoodnessOfLift_IME_Diffusion.pdf

zbMATH Keywords

treesGLMLorenz curveneural networkspricingrisk classificationconcentration curveGBM

Mathematics Subject Classification ID

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

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Cites work

• A data driven binning strategy for the construction of insurance tariff classes
• A sufficient condition of crossing type for the bivariate orthant convex order
• Expectation dependence of random variables, with an application in portfolio theory
• Generalized Lorenz curve and monotone dependence orderings
• Gini's mean difference: a superior measure of variability for non-normal distributions
• Global dependence stochastic orders
• Grüss-type bounds for covariances and the notion of quadrant dependence in expectation
• Positive Dependence of Signals
• Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Summarizing insurance scores using a Gini index
• The Econometrics of Individual Risk
• The Gini methodology. A primer on a statistical methodology.

Cited in

(12)

• Testing for more positive expectation dependence with application to model comparison
• Testing for auto-calibration with Lorenz and concentration curves
• Auto-calibration tests for discrete finite regression functions
• Mathematical modeling of probability distribution of money by means of potential formation
• Convex and Lorenz orders under balance correction in nonlife insurance pricing: review and new developments
• Model selection with Gini indices under auto-calibration
• Concave/convex weighting and utility functions for risk: a new light on classical theorems
• Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio
• Autocalibration and Tweedie-dominance for insurance pricing with machine learning
• Another look at the zero integral difference between Lorenz and concentration curves in supervised learning
• Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration
• Summarizing insurance scores using a Gini index

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