Does autocalibration improve goodness of lift?

Ciatto, Nicolas;Verelst, Harrison;Trufin, Julien;Denuit, Michel
(2023) European Actuarial Journal — Vol. 13, n° 1, p. 479-486 (2023)

Files

ISBA_RP_2023-07.pdf
  • Open Access
  • Adobe PDF
  • 1.05 MB
Download

Details

Authors
  • Ciatto, NicolasULB
    Author
  • Verelst, HarrisonULB
    Author
  • Trufin, JulienULB
    Author
  • Denuit, MichelUCLouvain
    Author
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.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Ciatto, N., Verelst, H., Trufin, J., & Denuit, M. (2023). Does autocalibration improve goodness of lift? European Actuarial Journal, 13(1), 479-486. https://doi.org/10.1007/s13385-022-00330-4 (Original work published 2023)