Balance and fairness through multicalibration in nonlife insurance pricing

Michel Denuit (), Marie Michaelides and Julien Trufin
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Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Marie Michaelides: Heriot-Watt University
Julien Trufin: Université Libre de Bruxelles

No 2026015, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar premiums. Also, fairness has become a major concern because unfair treatment may expose insurers to lawsuits or reputational damage. Translating fairness into conditional mean independence allows actuaries to combine autocalibration and fairness into the multicalibration concept. This paper studies the properties of multicalibration in an insurance context and proposes practical ways to implement it, through local regression or bias correction within groups including credibility adjustments. A case study based on motor insurance data illustrates the relevance of multicalibration in insurance pricing.

Keywords: Insurance pricing; autocalibration; fairness; sufficiency; multicalibration (search for similar items in EconPapers)
Pages: 28
Date: 2026-03-18
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2026015

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