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07/07/2023
Generalised Covariances and Correlations
The covariance of two random variables measures the average joint deviat...
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08/17/2022
Characterizing M-estimators
We characterize the full classes of M-estimators for semiparametric mode...
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08/16/2022
Osband's Principle for Identification Functions
Given a statistical functional of interest such as the mean or median, a...
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03/16/2022
Measurability of functionals and of ideal point forecasts
The ideal probabilistic forecast for a random variable Y based on an inf...
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03/01/2022
Sensitivity Measures Based on Scoring Functions
We propose a holistic framework for constructing sensitivity measures fo...
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02/25/2022
Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice
One of the main tasks of actuaries and data scientists is to build good ...
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12/06/2021
Deep Quantile and Deep Composite Model Regression
A main difficulty in actuarial claim size modeling is that there is no s...
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09/01/2021
Is the mode elicitable relative to unimodal distributions?
Statistical functionals are called elicitable if there exists a loss or ...
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04/20/2021
Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
Backtesting risk measure forecasts requires identifiability (for model c...
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10/27/2020
The Efficiency Gap
Parameter estimation via M- and Z-estimation is broadly considered to be...
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10/16/2019
Forecast Evaluation of Set-Valued Functionals
A functional is elicitable (identifiable) if it is the unique minimiser ...
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07/02/2019
Elicitability and Identifiability of Systemic Risk Measures and other Set-Valued Functionals
This paper is concerned with a two-fold objective. Firstly, we establish...
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02/12/2019
Elicitability of Range Value at Risk
The predictive performance of point forecasts for a statistical function...
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01/25/2019
Erratum: Higher Order Elicitability and Osband's Principle
This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and...
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11/27/2017
