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Testing for more positive expectation dependence with application to model comparison

par Denuit, Michel ;Trufin, Julien ;Verdebout, Thomas
Référence Insurance. Mathematics & economics, 101, page (163-172)
Publication Publié, 2021-11-01

Article révisé par les pairs

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Résumé :

Modern data science tools are effective to produce predictions that strongly correlate with responses. Model comparison can therefore be based on the strength of dependence between responses and their predictions. Positive expectation dependence turns out to be attractive in that respect. The present paper proposes an effective testing procedure for this dependence concept and applies it to compare two models. A simulation study is performed to evaluate the performances of the proposed testing procedure. Empirical illustrations using insurance loss data demonstrate the relevance of the approach for model selection in supervised learning. The most positively expectation dependent predictor can then be autocalibrated to obtain its balance-corrected version that appears to be optimal with respect to Bregman, or forecast dominance.