Model selection with Gini indices under auto-calibration

Author:

Wüthrich Mario V.ORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference22 articles.

1. Byrne S (2016) A note on the use of empirical AUC for evaluating probabilistic forecasts. Electron J Stat 10:380–393

2. Ciatto N, Verelst H, Trufin J, Denuit M (2022) Does autocalibration improve goodness of lift? Eur Actuar J, in press

3. Denuit M, Charpentier A, Trufin J (2021) Autocalibration and Tweedie-dominance for insurance pricing in machine learning. Insurance 101:485–497

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

5. Denuit M, Trufin J (2021) Lorenz curve, Gini coefficient, and Tweedie dominance for autocalibrated predictors. LIDAM Discussion Paper ISBA 2021/36

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