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arXiv · 2408.05993

Auto-Calibration Tests for Discrete Finite Regression Functions

Mario V. Wüthrich
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Abstract

Auto-calibration is an important property of regression functions for actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al.~(2024) recently published a test with an asymptotic distribution that is not fully explicit and its evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.

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Mario V. Wüthrich. 2024-08-12. Auto-Calibration Tests for Discrete Finite Regression Functions. https://arxiv.org/abs/2408.05993

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