Model selection with Gini indices under auto-calibration

DOI10.1007/s13385-022-00339-9zbMath1520.91357arXiv2207.14372OpenAlexW4315631759MaRDI QIDQ6173897

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

consistencymodel selectionauto-calibrationLorenz curveregression modelconcentration curvecumulative accuracy profileforecast-dominance

Mathematics Subject Classification ID

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

Related Items (3)

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

Cites Work

• Making and Evaluating Point Forecasts
• A general method for comparing probability assessors
• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• Autocalibration and Tweedie-dominance for insurance pricing with machine learning
• Summarizing Insurance Scores Using a Gini Index
• COST-SENSITIVE MULTI-CLASS ADABOOST FOR UNDERSTANDING DRIVING BEHAVIOR BASED ON TELEMATICS
• Calibrating sufficiently
• A note on the use of empirical AUC for evaluating probabilistic forecasts

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