Testing for auto-calibration with Lorenz and concentration curves

DOI10.1016/j.insmatheco.2024.04.003zbMATH Open1545.9126MaRDI QIDQ6573818

Unnamed Author, Julien Trufin, Thomas Verdebout, Michel Denuit

Publication date: 17 July 2024

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

zbMATH Keywords

Gini coefficientLorenz curveconcentration curvearea between the curves (ABC)auto-calibrated estimatorsintegrated concentration curve (ICC)

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Stochastic orders
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• Monotonic dependence functions of bivariate distributions
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• Bias regularization in neural network models for general insurance pricing
• Nonparametric Monte Carlo tests and their applications.
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• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Summarizing Insurance Scores Using a Gini Index
• Local Regression and Likelihood
• Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
• Elicitation of Personal Probabilities and Expectations
• Testing for positive expectation dependence
• Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
• Model selection with Gini indices under auto-calibration
• The Elements of Statistical Learning
• Generic Conditions for Forecast Dominance

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