Model selection with Gini indices under auto-calibration

DOI10.1007/S13385-022-00339-9MaRDI QIDQ6173897zbMATH OpenOpenAlexFDO

Authors Mario V. Wüthrich

Publication date 13 July 2023

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

Full work available at URL https://arxiv.org/abs/2207.14372

zbMATH Keywords

auto-calibrationconcentration curveconsistencycumulative accuracy profileforecast-dominanceLorenz curvemodel selectionregression model

Mathematics Subject Classification ID

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

Abstract: The Gini index does not give a strictly consistent scoring rule in general. Therefore, maximizing the Gini index may lead to wrong decisions. The main issue is that the Gini index is a rank-based score that is not calibration-sensitive. We show that the Gini index allows for strictly consistent scoring if we restrict to the class of auto-calibrated regression models.

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Cites work

• A general method for comparing probability assessors
• A note on the use of empirical AUC for evaluating probabilistic forecasts
• Autocalibration and Tweedie-dominance for insurance pricing with machine learning
• Calibrating sufficiently
• Cost-sensitive multi-class AdaBoost for understanding driving behavior based on telematics
• Making and evaluating point forecasts
• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• Summarizing insurance scores using a Gini index

Cited in

(10)

• Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
• Isotonic recalibration under a low signal-to-noise ratio
• Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration
• Testing for auto-calibration with Lorenz and concentration curves
• Convex and Lorenz orders under balance correction in nonlife insurance pricing: review and new developments
• A data science approach to climate change risk assessment applied to pluvial flood occurrences for the United States and Canada
• Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
• Auto-calibration tests for discrete finite regression functions
• Weekly dynamic motor insurance ratemaking with a telematics signals bonus-malus score
• Another look at the zero integral difference between Lorenz and concentration curves in supervised learning

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