Does autocalibration improve goodness of lift?

Nicolas Ciatto, Harrison Verelst, Julien Trufin and Michel Denuit
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Nicolas Ciatto: Université Libre de Bruxelles
Harrison Verelst: Université Libre de Bruxelles
Julien Trufin: Université Libre de Bruxelles
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2023007, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Autocalibration is a desirable property since it ensures that the information contained in a candidate premium is used without any bias. It turns out to be intimately related to the method of marginal totals that predates modern risk classification methods. The present note aims to assess the impact of autocalibration on the goodness of lift. It is shown on a case study that autocalibration does not only restore global and local balances but also improve lift.

Keywords: Risk classification; Ratemaking; Autocalibration; Lift curve (search for similar items in EconPapers)
Pages: 8
Date: 2023-05-01
Note: In: European Actuarial Journal, 2023, vol. 13(1), p. 479-486
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2023007

DOI: 10.1007/s13385-022-00330-4

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