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

In order to determine an appropriate amount of premium, statistical goodness-of-fit criteria must be supplemented with actuarial ones when assessing performance of a given candidate pure premium. In this paper, concentration curves and Lorenz curves are shown to provide actuaries with effective tools to evaluate whether a premium is appropriate or to compare two competing alternatives. The idea is to compare the premium income for sub-portfolios gathering low risks (identified as low by means of the premiums under consideration) to the true one, or equivalently, to the actual losses. Numerical illustrations performed on hypothetical data and real ones demonstrate the usefulness of the proposed approach.

• metadata
• relations

Document type	Document de travail (Working Paper)
Access type	Accès libre
Publication date	2019
Language	Anglais
Number of pages	25 pages
Collection	ISBA Discussion Paper - 2019/06
Affiliation	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords	Pricing ; risk classification ; concentration curve ; Lorenz curve ; GLM ; GBM ; trees ; neural networks
Links	http://hdl.handle.net/2078.1/214859[Handle]

See also
	[boreal:220948]	Model selection based on Lorenz and concentration curves, Gini indices and convex order