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Author
Date
2023-06Type
- Journal Article
Abstract
The Gini index does not give a strictly consistent scoring function. Therefore, simply maximizing the Gini index may lead to a wrong model choice. The main issue is that the Gini index is a rank-based score that is not calibration-sensitive. We show that the Gini index allows for strictly consistent scoring if we restrict it to the class of auto-calibrated regression models. That is, on the class of auto-calibrated models we know that the true model maximizes the Gini index. Show more
Publication status
publishedExternal links
Journal / series
European Actuarial JournalVolume
Pages / Article No.
Publisher
SpringerSubject
Gini index; Consistency; auto-calibration; Lorenz curve; Concentration curve; Cumulative accuracy profile; Forecast-dominance; Model selection; Regression modelOrganisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
02204 - RiskLab / RiskLab
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