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

DOI10.1007/s13385-023-00353-5MaRDI QIDQ6201529

Michel M. Denuit, Julien Trufin

Publication date: 21 February 2024

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

zbMATH Keywords

Gini indexcomonotonicityautocalibrationconcentration curveconsistent loss function

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Making and Evaluating Point Forecasts
• Model selection based on Lorenz and concentration curves, Gini indices and convex order
• How Biased is the Apparent Error Rate of a Prediction Rule?
• Elicitation of Personal Probabilities and Expectations
• Model selection with Gini indices under auto-calibration

This page was built for publication: Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration