利用洛伦兹曲线和浓度曲线进行自动校准测试

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-05-06 DOI:10.1016/j.insmatheco.2024.04.003

Michel Denuit , Julie Huyghe , Julien Trufin , Thomas Verdebout

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引用次数: 0

摘要

最近，有人提出了基于洛伦兹曲线和集中曲线的优势关系和诊断工具，用于比较回归函数的竞争估计值。事实证明，当所考虑的估计器经过自动校准时，这种方法等同于预测优势。根据洛伦兹曲线和集中曲线的图形，建立了自动校准的新特征。利用这一结果，提出了一种有效的自动校准测试程序。为评估该程序的性能进行了模拟研究，并在一个保险数据集上证明了该程序的实用性。

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Testing for auto-calibration with Lorenz and Concentration curves

Dominance relations and diagnostic tools based on Lorenz and Concentration curves in order to compare competing estimators of the regression function have recently been proposed. This approach turns out to be equivalent to forecast dominance when the estimators under consideration are auto-calibrated. A new characterization of auto-calibration is established, based on the graphs of Lorenz and Concentration curves. This result is exploited to propose an effective testing procedure for auto-calibration. A simulation study is conducted to evaluate its performances and its relevance for practice is demonstrated on an insurance data set.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.