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<p>Auto-calibration is an important property of regression functions in actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al.&#xa0;(2024) recently published a test with an asymptotic distribution that is not fully explicit, and whose evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.</p>

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Auto-calibration tests for discrete finite regression functions

  • 期刊论文

  • 发表日期：

    2025年1月27日

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  • Mario V. Wüthrich

摘要

Auto-calibration is an important property of regression functions in 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 whose evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.