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

DOI10.1016/J.INSMATHECO.2019.09.001zbMATH Open1427.91226OpenAlexW2979431404WikidataQ127106879 ScholiaQ127106879MaRDI QIDQ2010900FDOQ2010900

Dominik Sznajder, Michel Denuit, Julien Trufin

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

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zbMATH Keywords

treesGLMLorenz curveneural networkspricingrisk classificationconcentration curveGBM

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (9)

• Testing for more positive expectation dependence with application to model comparison
• Testing for auto-calibration with Lorenz and concentration curves
• 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
• Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration

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