462 citations · 706 across the 37 of their papers we have counts for
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Decompositions of the mean continuous ranked probability score
Sebastian Arnold, Eva-Maria Walz, Johanna Ziegel +1
The continuous ranked probability score (crps) is the most commonly used scoring rule in the evaluation of probabilistic forecasts for real-valued outcomes. To assess and rank fore…
Assessing the calibration of multivariate probabilistic forecasts
Sam Allen, Johanna Ziegel, David Ginsbourger
Rank and PIT histograms are established tools to assess the calibration of probabilistic forecasts. They not only check whether an ensemble forecast is calibrated, but they also re…
Isotonic conditional laws
Sebastian Arnold, Johanna Ziegel
We introduce isotonic conditional laws (ICL) which extend the classical notion of conditional laws by the additional requirement that there exists an isotonic relationship between…
Isotonic Recalibration under a Low Signal-to-Noise Ratio
Mario V. Wüthrich, Johanna Ziegel
Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts. Often, regression mode…