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Model selection based on Lorenz and concentration curves, Gini indices and convex order

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  • Denuit, Michel
  • Sznajder, Dominik
  • Trufin, Julien

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  • Denuit, Michel & Sznajder, Dominik & Trufin, Julien, 2019. "Model selection based on Lorenz and concentration curves, Gini indices and convex order," LIDAM Discussion Papers ISBA 2019006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2019006
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    References listed on IDEAS

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    1. Denuit, Michel & Mesfioui, Mhamed, 2013. "A sufficient condition of crossing type for the bivariate orthant convex order," LIDAM Reprints ISBA 2013004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Denuit, Michel, 2010. "Positive dependence of signals," LIDAM Discussion Papers ISBA 2010025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Denuit, Michel M. & Mesfioui, Mhamed, 2017. "Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 1-5.
    4. Frees, Edward W. & Meyers, Glenn & Cummings, A. David, 2011. "Summarizing Insurance Scores Using a Gini Index," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 1085-1098.
    5. Kaas, R. & Hesselager, O., 1995. "Ordering claim size distributions and mixed Poisson probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 193-201, October.
    6. repec:adr:anecst:y:1992:i:28:p:05 is not listed on IDEAS
    7. Denuit, Michel & Mesfioui, Mhamed, 2017. "Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization," LIDAM Reprints ISBA 2017002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Denuit, Michel & Mesfioui, Mhamed, 2013. "A sufficient condition of crossing type for the bivariate orthant convex order," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 157-162.
    9. Christian Gouriéroux, 1992. "Courbes de performances, de sélection et de discrimination," Annals of Economics and Statistics, GENES, issue 28, pages 107-123.
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    Citations

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    Cited by:

    1. Michel Denuit & Arthur Charpentier & Julien Trufin, 2021. "Autocalibration and Tweedie-dominance for Insurance Pricing with Machine Learning," Papers 2103.03635, arXiv.org, revised Jul 2021.
    2. Denuit, Michel & Trufin, Julien, 2021. "Lorenz curve, Gini coefficient, and Tweedie dominance for autocalibrated predictors," LIDAM Discussion Papers ISBA 2021036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Wakker, Peter P. & Yang, Jingni, 2021. "Concave/convex weighting and utility functions for risk: A new light on classical theorems," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 429-435.
    4. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," LIDAM Discussion Papers ISBA 2021021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Denuit, Michel & Charpentier, Arthur & Trufin, Julien, 2021. "Autocalibration and Tweedie-dominance for insurance pricing with machine learning," LIDAM Discussion Papers ISBA 2021013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Denuit, Michel & Trufin, Julien, 2022. "Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration," LIDAM Discussion Papers ISBA 2022033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Willame, Gireg & Trufin, Julien & Denuit, Michel, 2023. "Boosted Poisson regression trees: A guide to the BT package in R," LIDAM Discussion Papers ISBA 2023008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Denuit, Michel & Charpentier, Arthur & Trufin, Julien, 2021. "Autocalibration and Tweedie-dominance for insurance pricing with machine learning," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 485-497.
    9. Michel Denuit & Christian Y. Robert, 2021. "Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(2), pages 181-205, June.
    10. Denuit, Michel & Trufin, Julien, 2022. "Autocalibration by balance correction in nonlife insurance pricing," LIDAM Discussion Papers ISBA 2022041, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    11. Denuit, Michel & Robert, Christian Y., 2021. "Risk sharing under the dominant peer-to-peer property and casualty insurance business models," LIDAM Discussion Papers ISBA 2021001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Yves Staudt & Joël Wagner, 2021. "Assessing the Performance of Random Forests for Modeling Claim Severity in Collision Car Insurance," Risks, MDPI, vol. 9(3), pages 1-28, March.
    13. Jolien Ponnet & Robin Van Oirbeek & Tim Verdonck, 2021. "Concordance Probability for Insurance Pricing Models," Risks, MDPI, vol. 9(10), pages 1-26, October.
    14. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 163-172.
    15. Denuit, Michel & Huyghe, Julie & Trufin, Julien & Verdebout, Thomas, 2024. "Testing for auto-calibration with Lorenz and Concentration curves," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 130-139.
    16. Aktaev, Nurken E. & Bannova, K.A., 2022. "Mathematical modeling of probability distribution of money by means of potential formation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 595(C).

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