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

DOI10.1016/j.insmatheco.2019.09.001zbMath1427.91226OpenAlexW2979431404WikidataQ127106879 ScholiaQ127106879MaRDI QIDQ2010900

Dominik Sznajder, Julien Trufin, Michel M. Denuit

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

zbMATH Keywords

neural networkstreesGLMpricingLorenz curverisk classificationconcentration curveGBM

Mathematics Subject Classification ID

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

Related Items (7)

Mathematical modeling of probability distribution of money by means of potential formation ⋮ Testing for more positive expectation dependence with application to model comparison ⋮ Autocalibration and Tweedie-dominance for insurance pricing with machine learning ⋮ Model selection with Gini indices under auto-calibration ⋮ Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration ⋮ Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio ⋮ Concave/convex weighting and utility functions for risk: a new light on classical theorems

Cites Work

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

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