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Testing for auto-calibration with Lorenz and Concentration curves

Author

Listed:
  • Denuit, Michel

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Huyghe, Julie

    (Université Libre de Bruxelles)

  • Trufin, Julien

    (Université Libre de Bruxelles)

  • Verdebout, Thomas

    (ECARES)

Abstract

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.

Suggested Citation

  • Denuit, Michel & Huyghe, Julie & Trufin, Julien & Verdebout, Thomas, 2024. "Testing for auto-calibration with Lorenz and Concentration curves," LIDAM Reprints ISBA 2024015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2024015
    DOI: https://doi.org/10.1016/j.insmatheco.2024.04.003
    Note: In: Insurance Mathematics and Economics, 2024, vol. 117, p. 130-139
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    More about this item

    Keywords

    Concentration curve ; Lorenz curve ; Integrated Concentration Curve (ICC) ; Area Between the Curves (ABC) ; Gini coefficient ; Auto-calibrated estimators;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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