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Author
Date
2025Type
- Journal Article
ETH Bibliography
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. Show more
Publication status
publishedExternal links
Journal / series
European Actuarial JournalPublisher
SpringerSubject
Auto-calibration; Concentration curve; Lorenz curve; Area between the curvesMore
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ETH Bibliography
yes
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