Comparison of predictors’ performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams
(2025) , 11 pages
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- Authors
- 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.
- Affiliations
Citations
Denuit, M., & Trufin, J. (2025). Comparison of predictors’ performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams (LIDAM Discussion Paper ISBA 2024/25). https://hdl.handle.net/2078.5/237325