mlsanityData to 14 Oct 2026

Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice

arXiv 2202.12780 ↗First posted 25 Feb 2022stat.ML cs.LGcited by 13

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Abstract (arXiv)

One of the main tasks of actuaries and data scientists is to build good predictive models for certain phenomena such as the claim size or the number of claims in insurance. These models ideally exploit given feature information to enhance the accuracy of prediction. This user guide revisits and clarifies statistical techniques to assess the calibration or adequacy of a model on the one hand, and to compare and rank different models on the other hand. In doing so, it emphasises the importance of specifying the prediction target functional at hand a priori (e.g. the mean or a quantile) and of choosing the scoring function in model comparison in line with this target functional. Guidance for the practical choice of the scoring function is provided. Striving to bridge the gap between science and daily practice in application, it focuses mainly on the pedagogical presentation of existing results and of best practice. The results are accompanied and illustrated by two real data case studies on workers' compensation and customer churn.

Key facts. Cited by 13 papers in the map (data through 14 Oct 2026). Builds on 21 of its 83 references that are in the map. First posted on arXiv 25 Feb 2022.

Builds on

21 of 83 references.

References · 21

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9 more
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Cited by year (2026 to 14 Oct)

Citing papers per year: 2022: 2; 2023: 2; 2024: 2; 2025: 3; 2026: 4.

13 papers.

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