Top

European Actuarial Journal

Published in:

21-09-2022 | Letters

Does autocalibration improve goodness of lift?

Authors: Nicolas Ciatto, Harrison Verelst, Julien Trufin, Michel Denuit

Published in: European Actuarial Journal | Issue 1/2023

Activate our intelligent search to find suitable subject content or patents.

search-config

AI-assisted search

Off

Abstract

Autocalibration is a desirable property since it ensures that the information contained in a candidate premium is used without any bias. It turns out to be intimately related to the method of marginal totals that predates modern risk classification methods. The present note aims to assess the impact of autocalibration on the goodness of lift. It is shown on a case study that autocalibration does not only restore global and local balances but also improve lift.

previous article Model selection with Gini indices under auto-calibration

next article Correction to: Does autocalibration improve goodness of lift?

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Bowman AW, Jones MC, Gijbels I (1998) Testing monotonicity of regression. J Comput Graph Stat 7:489–500

Denuit M, Sznajder D, Trufin J (2019) Model selection based on Lorenz and concentration curves, Gini indices and convex order. Insur Math Econ 89:128–139MathSciNetCrossRefMATH

Denuit M, Charpentier A, Trufin J (2021) Autocalibration and Tweedie-dominance for insurance pricing with machine learning. Insur Math Econ 101:485–497MathSciNetCrossRefMATH

Kruger F, Ziegel JF (2021) Generic conditions for forecast dominance. J Bus Econ Stat 39:972–983MathSciNetCrossRef

Loader C (1999) Local regression and likelihood. Springer, New YorkCrossRefMATH

Meyers G, Cummings AD (2009) Goodness of fit vs. goodness of lift. Actuarial Rev 36:16–17

Noll A, Salzmann R, Wüthrich M (2018). Case study: French motor third-party liability claims. Available at SSRN: https://ssrn.com/abstract=3164764

Tevet D (2013) Exploring model lift: is your model worth implementing. Actuarial Rev 40:10–13

Wüthrich MV (2019) From generalized linear models to Neural Networks, and back. SSRN Manuscript ID 3491790

10.

Wüthrich MV (2020) Bias regularization in neural network models for general insurance pricing. Eur Actuar J 10:179–202MathSciNetCrossRefMATH

Title: Does autocalibration improve goodness of lift?
Authors: Nicolas Ciatto
Harrison Verelst
Julien Trufin
Michel Denuit
Publication date: 21-09-2022
Publisher: Springer Berlin Heidelberg
Published in: European Actuarial Journal / Issue 1/2023
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-022-00330-4

Springer Professional

Abstract

Please log in to get access to your license.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Other articles of this Issue 1/2023

On some effects of dependencies on an insurer’s risk exposure, probability of ruin, and optimal premium loading

Long-term stability of a life insurer’s balance sheet

Impact of rough stochastic volatility models on long-term life insurance pricing

Generalized PELVE and applications to risk measures

Selection effect modification to the Lee-Carter model

Cross-subsidizing effects between existing and new policyholders in traditional life insurance