Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration

DOI10.1007/S13385-023-00353-5MaRDI QIDQ6201529zbMATH OpenFDO

Authors Michel Denuit, Julien Trufin

Publication date 21 February 2024

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

Full work available at URL https://doi.org/10.1007/S13385-023-00353-5

zbMATH Keywords

autocalibrationcomonotonicityconcentration curveconsistent loss functionGini index

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Actuarial mathematics (91G05)

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• scientific article; zbMATH DE number 754508

Cites work

• Elicitation of Personal Probabilities and Expectations
• How Biased is the Apparent Error Rate of a Prediction Rule?
• Making and evaluating point forecasts
• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• Model selection with Gini indices under auto-calibration
• Simple characterizations of comonotonicity and countermonotonicity by extremal correlations

Cited in

(3)

• Testing for auto-calibration with Lorenz and concentration curves
• Convex and Lorenz orders under balance correction in nonlife insurance pricing: review and new developments
• Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation

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