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math.ST2026
Calibration Bands for Mean Estimates within the Exponential Dispersion Family
Åukasz Delong, Selim Gatti, Mario V. Wüthrich
A statistical model is said to be calibrated if the resulting mean estimates perfectly match the true means of the underlying responses. Aiming for calibration is often not achieva…
math.ST2024
Auto-Calibration Tests for Discrete Finite Regression Functions
Mario V. Wüthrich
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…