A few month ago, I did mention a graph, of some so-called Lorenz curves to compare regression models, see e.g. Progressive’s slides (thanks Guillaume for the reference)

The idea is simple. Consider some model for the pure premium (in insurance, it is the quantity that we like to model), i.e. the conditional expected valeur

On some dataset, we have our predictions, as well as observed quantities, . The curve are obtained simply :

- sort the observations so that

- based on that ordering (from high risks to low risks, based on our predictions), we plot Lorenz curve

Continue reading Additional thoughts about ‘Lorenz curves’ to compare models