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

Michel Denuit () and Julien Trufin ()
Additional contact information
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Julien Trufin: ULB

No 2024025, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

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.

Keywords: Insurance pricing; Model comparison; Bregman dominance; Murphy diagram; Statistical test (search for similar items in EconPapers)
Pages: 11
Date: 2024-12-13
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/en/object/bore ... tastream/PDF_01/view (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2024025

Access Statistics for this paper

More papers in LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().