Related papers: Balance and Fairness through Multicalibration in N…

The non-life insurance sector operates within a highly competitive and tightly regulated framework, confronting a pivotal juncture in the formulation of pricing strategies. Insurers are compelled to harness a range of statistical…

We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…

Calibration is a well-studied property of predictors which guarantees meaningful uncertainty estimates. Multicalibration is a related notion -- originating in algorithmic fairness -- which requires predictors to be simultaneously calibrated…

Fair calibration is a widely desirable fairness criteria in risk prediction contexts. One way to measure and achieve fair calibration is with multicalibration. Multicalibration constrains calibration error among flexibly-defined…

There is a growing interest in societal concerns in machine learning systems, especially in fairness. Multicalibration gives a comprehensive methodology to address group fairness. In this work, we address the multicalibration error and…

Boosting techniques and neural networks are particularly effective machine learning methods for insurance pricing. Often in practice, there are nevertheless endless debates about the choice of the right loss function to be used to train the…

Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts. Often, regression models are not auto-calibrated. We propose to apply isotonic…

We argue that insurance can act as an analogon for the social situatedness of machine learning systems, hence allowing machine learning scholars to take insights from the rich and interdisciplinary insurance literature. Tracing the…

Equilibrium pricing has been proven to underlie the rational Insured expectancy of premia additivity for composition of policies fully covering independent risks.

Introduced as a notion of algorithmic fairness, multicalibration has proved to be a powerful and versatile concept with implications far beyond its original intent. This stringent notion -- that predictions be well-calibrated across a rich…

At the core of insurance business lies classification between risky and non-risky insureds, actuarial fairness meaning that risky insureds should contribute more and pay a higher premium than non-risky or less-risky ones. Actuaries,…

As algorithms increasingly inform and influence decisions made about individuals, it becomes increasingly important to address concerns that these algorithms might be discriminatory. The output of an algorithm can be discriminatory for many…

The insurance industry, with its large datasets, is a natural place to use big data solutions. However it must be stressed, that significant number of applications for machine learning in insurance industry, like fraud detection or claim…

Fairness has emerged as a critical consideration in the landscape of machine learning algorithms, particularly as AI continues to transform decision-making across societal domains. To ensure that these algorithms are free from bias and do…

This paper addresses significant obstacles that arise from the widespread use of machine learning models in the insurance industry, with a specific focus on promoting fairness. The initial challenge lies in effectively leveraging unlabeled…

As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…

Multicalibration is a notion of fairness for predictors that requires them to provide calibrated predictions across a large set of protected groups. Multicalibration is known to be a distinct goal than loss minimization, even for simple…

In this paper, we provide a moral analysis of two criteria of statistical fairness debated in the machine learning literature: 1) calibration between groups and 2) equality of false positive and false negative rates between groups. In our…

Indirect discrimination is an issue of major concern in algorithmic models. This is particularly the case in insurance pricing where protected policyholder characteristics are not allowed to be used for insurance pricing. Simply…

This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…