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European Actuarial Journal
Published in:

27-01-2025 | Letter

Auto-calibration tests for discrete finite regression functions

Author: Mario V. Wüthrich

Published in: European Actuarial Journal | Issue 1/2025

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Abstract

Auto-calibration is an important property of regression functions in actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al. (2024) recently published a test with an asymptotic distribution that is not fully explicit, and whose evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.
previous article A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules

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Literature
1.
Denuit M, Charpentier A, Trufin J (2021) Autocalibration and Tweedie-dominance for insurance pricing in machine learning. Insurance Math Econom 101/B:485–497CrossRefMATH
2.
Denuit M, Huyghe J, Trufin J, Verdebout T (2024) Testing for auto-calibration with Lorenz and concentration curves. Insurance Math Econom 117:130–139MathSciNetCrossRefMATH
3.
Denuit M, Sznajder D, Trufin J (2019) Model selection based on Lorenz and concentration curves, Gini indices and convex order. Insurance Math Econom 89:128–139MathSciNetCrossRefMATH
4.
Dimitriadis T, Dümbgen L, Henzi A, Puke M, Ziegel J (2023) Honest calibration assessment for binary outcome predictions. Biometrika 110(3):663–680MathSciNetCrossRefMATH
5.
Gneiting T, Resin J (2023) Regression diagnostics meets forecst evaluation: conditional calibration, reliability diagrams, and coefficient of determination. Electronic Journal of Statistics 17:3226–3286MathSciNetCrossRefMATH
6.
Krüger F, Ziegel JF (2021) Generic conditions for forecast dominance. Journal of Business and Economics Statistics 39(4):972–983MathSciNetCrossRefMATH
7.
8.
Wüthrich MV (2024) Auto-calibration tests for discrete finite regression functions (extended online version). arXiv:​2408.​05993. August 12, 2024
Metadata
Title
Auto-calibration tests for discrete finite regression functions
Author
Mario V. Wüthrich
Publication date
27-01-2025
Publisher
Springer Berlin Heidelberg
Published in
European Actuarial Journal / Issue 1/2025
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-025-00410-1

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