Gini Score under Ties and Case Weights
This work addresses a specific limitation in actuarial modeling, making it incremental for practitioners in that field.
The paper tackles the problem of applying the Gini score to risk rankings with ties and case weights, common in actuarial contexts, by extending its formulation to handle these scenarios.
The Gini score is a popular tool in statistical modeling and machine learning for model validation and model selection. It is a purely rank based score that allows one to assess risk rankings. The Gini score for statistical modeling has mainly been used in a binary context, in which it has many equivalent reformulations such as the receiver operating characteristic (ROC) or the area under the curve (AUC). In the actuarial literature, this rank based score for binary responses has been extended to general real-valued random variables using Lorenz curves and concentration curves. While these initial concepts assume that the risk ranking is generated by a continuous distribution function, we discuss in this paper how the Gini score can be used in the case of ties in the risk ranking. Moreover, we adapt the Gini score to the common actuarial situation of having case weights.