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Autocalibration and Tweedie-dominance for insurance pricing with machine learning

  • Published:2021-11 Issue: Volume:101 Page:485-497
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Denuit Michel,Charpentier ArthurORCID,Trufin JulienORCID

Publisher

Elsevier BV

Subject

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

Reference17 articles.

1. Insurance rates with minimum bias;Bailey;Proceedings of the Casualty Actuarial Society,1963

2. Two studies on automobile insurance ratemaking;Bailey;ASTIN Bulletin,1960

3. Computational Actuarial Science with R;Charpentier,2014

4. Making Tweedie's compound Poisson model more accessible;Delong;European Actuarial Journal,2021

5. Actuarial Theory for Dependent Risks: Measures, Orders and Models;Denuit,2005

Cited by 20 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments;Insurance: Mathematics and Economics;2024-09

2. Testing for auto-calibration with Lorenz and Concentration curves;Insurance: Mathematics and Economics;2024-07

3. Enhancing actuarial non-life pricing models via transformers;European Actuarial Journal;2024-06-12

4. Insights From Insurance for Fair Machine Learning;The 2024 ACM Conference on Fairness, Accountability, and Transparency;2024-06-03

5. On duration effects in non-life insurance pricing;European Actuarial Journal;2024-05-27
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