Finance & Financial Econometrics : 
Time: 10.00 am
Date: 13th of March 2025
Room 3001

Julien TRUFIN (Université Libre de Bruxelles) “Bregman and Tweedie Dominances for Candidate Pure Premiums”

Abstract :This talk explores Bregman and Tweedie dominances to compare competing candidate pure premiums. An effective testing procedure for Bregman dominance is proposed based on Murphy diagrams and its performance is evaluated through a simulation study. An application to a Swiss motor insurance data set demonstrates the potential of the proposed procedure. A necessary and sufficient condition for Tweedie dominances is then established. Finally, for autocalibrated predictors, this talk highlights that Laplace transform order is a sufficient condition for Tweedie dominance. This aligns with the observation that Tweedie dominance is a less stringent concept than Bregman dominance, which simplifies to the well-known convex order among autocalibrated predictors.

Organizers: 

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST