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Comparison of predictors’ performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams

Author

Listed:
  • Denuit, Michel

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

  • Trufin, Julien

    (ULB)

Abstract

Ehm et al. (2016) defined forecast dominance, or Bregman dominance as dominance for every Bregman loss function. This letter explores Bregman dominance to compare competing candidate pure premiums. An effective testing procedure for Bregman dominance is proposed based on Murphy diagrams and its performance is evaluated through a simulation study. An application to a Swiss motor insurance data set demonstrates the potential of the proposed procedure.

Suggested Citation

  • Denuit, Michel & Trufin, Julien, 2024. "Comparison of predictors’ performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams," LIDAM Discussion Papers ISBA 2024025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2024025
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    References listed on IDEAS

    as
    1. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
    2. Andrew J. Patton, 2020. "Comparing Possibly Misspecified Forecasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 796-809, October.
    Full references (including those not matched with items on IDEAS)

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