• DOI:10.2139/ssrn.3595625
Corpus ID: 218570933

Proving prediction prudence

@article{Tasche2020ProvingPP,
  title={Proving prediction prudence},
  author={D. Tasche},
  journal={arXiv: Risk Management},
  year={2020}
}

D. Tasche

Published 2020

Mathematics, Economics

arXiv: Risk Management

We study how to perform tests on samples of pairs of observations and predictions in order to assess whether or not the predictions are prudent. Prudence requires that that the mean of the difference of the observation-prediction pairs can be shown to be significantly negative. For safe conclusions, we suggest testing both unweighted (or equally weighted) and weighted means and explicitly taking into account the randomness of individual pairs. The test methods presented are mainly specified as… CONTINUE READING

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