Auto-calibration tests for discrete finite regression functions
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Date
2025-04
Publication Type
Journal Article
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yes
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Abstract
Auto-calibration is an important property of regression functions in actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al. (2024) recently published a test with an asymptotic distribution that is not fully explicit, and whose evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.
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published
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Journal / series
Volume
15 (1)
Pages / Article No.
335 - 341
Publisher
Springer
Event
Edition / version
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Software
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Date collected
Date created
Subject
Auto-calibration; Concentration curve; Lorenz curve; Area between the curves
Organisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
02204 - RiskLab / RiskLab