Tweedie dominance for autocalibrated predictors and Laplace transform order

Michel Denuit, Julie Huyghe, Pierre-Alexandre Simon and Julien Trufin
Additional contact information
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Julie Huyghe: Université Libre de Bruxelles
Pierre-Alexandre Simon: Université Libre de Bruxelles
Julien Trufin: Université Libre de Bruxelles

No 2026025, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: While Krüger and Ziegel [(2021). Generic conditions for forecast dominance. Journal of Business & Economic Statistics, 39(4), 972–983.] defined forecast dominance, or Bregman dominance as dominance for every Bregman loss function, this paper explores Tweedie dominance proposed by Denuit et al. [(2021). Autocalibration and Tweedie dominance for insurance pricing with machine learning. Insurance: Mathematics and Economics, 101, 485–497.] to compare competing candidate premiums. 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.

Keywords: Insurance pricing; tweedie distribution family; autocalibrated models; tweedie dominance; Laplace transform order (search for similar items in EconPapers)
Pages: 15
Date: 2026-01-01
Note: In: Scandinavian Actuarial Journal, 2026, vol. 2026(6), p. 569-583
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://research.dial.uclouvain.be/

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:louvar:2026025

DOI: 10.1080/03461238.2025.2557295

Access Statistics for this paper

More papers in LIDAM Reprints 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 Alain Gillis ().