2024/08/12 by Mario V. Wüthrich, Wüthrich, Mario V. · 1 citation
Engineering · #Control Systems and Identification #FOS: Mathematics #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2408.05993
openalex publication_date 2024/08/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.~(2024) recently published a test with an asymptotic distribution that is not fully explicit and its evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.