A Practical Guide on Graphical Model Validation
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Abstract (arXiv)
This manuscript formalizes the most popular model validation tools used in general insurance actuarial modeling. These include graphical tools like calibration plots, actual-vs-expected plots, lift charts, Murphy diagrams, as well as classical statistical tools such as Bregman losses, deviance losses, elementary losses, Murphy's decomposition and Gini scores. Particular emphasis is placed on whether calibration and discrimination are studied under a policy-weighted or an exposure-weighted population measure. This distinction is crucial in ensuring that premium schemes are calibrated on the correct scale.
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4 of 61 references.
References · 4
- 2022Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practicecited by 13
- 2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluationcited by 8
- 2025Model Monitoring: A General Framework with an Application to Non-life Insurance Pricingcited by 1
- 2026Assessing model calibration with boosting treescited by 1
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