Testing for auto-calibration with Lorenz and concentration curves

DOI10.1016/J.INSMATHECO.2024.04.003MaRDI QIDQ6573818zbMATH OpenFDO

Authors Michel Denuit, Julien Trufin, Thomas Verdebout

Publication date 17 July 2024

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

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.04.003

zbMATH Keywords

area between the curves (ABC)auto-calibrated estimatorsconcentration curveGini coefficientintegrated concentration curve (ICC)Lorenz curve

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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• scientific article; zbMATH DE number 4098579

Cites work

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Cited in

(6)

• Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration
• From point to probabilistic gradient boosting for claim frequency and severity prediction
• Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
• Auto-calibration tests for discrete finite regression functions
• Another look at the zero integral difference between Lorenz and concentration curves in supervised learning
• Title not available (Why is no real title available?)

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