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Tweedie dominance for autocalibrated predictors and Laplace transform order

Author

Listed:
  • Denuit, Michel

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

  • Trufin, Julien

    (ULB)

Abstract

While Krüger and Ziegel (2021) defined forecast dominance, or Bregman dominance as dominance for every Bregman loss function, this short note explores Tweedie dominance proposed by Denuit et al. (2021) to compare competing models. A necessary and sufficient condition is established under autocalibration. Moreover, Laplace transform order turns out to be a sufficient condition for Tweedie dominance between autocalibrated predictors. This shows that Tweedie dominance is a rather weak concept compared to Bregman dominance that reduces to the well-known convex order among autocalibrated predictors.

Suggested Citation

  • Denuit, Michel & Trufin, Julien, 2022. "Tweedie dominance for autocalibrated predictors and Laplace transform order," LIDAM Discussion Papers ISBA 2022040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2022040
    as

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    References listed on IDEAS

    as
    1. Denuit, Michel & Charpentier, Arthur & Trufin, Julien, 2021. "Autocalibration and Tweedie-dominance for insurance pricing with machine learning," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 485-497.
    2. Michel Denuit & Arthur Charpentier & Julien Trufin, 2021. "Autocalibration and Tweedie-dominance for Insurance Pricing with Machine Learning," Papers 2103.03635, arXiv.org, revised Jul 2021.
    3. Bhattacharyya, Dhrubasish & Khan, Ruhul Ali & Mitra, Murari, 2021. "Tests for Laplace order dominance with applications to insurance data," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 163-173.
    4. W. Henry Chiu, 2021. "Intersecting Lorenz curves and aversion to inverse downside inequality," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 56(3), pages 487-508, April.
    5. W. Chiu, 2007. "Intersecting Lorenz Curves, the Degree of Downside Inequality Aversion, and Tax Reforms," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 28(3), pages 375-399, April.
    6. Denuit, Michel & Charpentier, Arthur & Trufin, Julien, 2021. "Autocalibration and Tweedie-dominance for insurance pricing with machine learning," LIDAM Discussion Papers ISBA 2021013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Denuit, Michel & Charpentier , Arthur & Trufin, Julien, 2021. "Autocalibration and Tweedie-dominance for insurance pricing with machine learning," LIDAM Reprints ISBA 2021049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Fabian Krüger & Johanna F. Ziegel, 2021. "Generic Conditions for Forecast Dominance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 972-983, October.
    Full references (including those not matched with items on IDEAS)

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