Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice. (arXiv:2202.12780v1 [stat.ML])

One of the main tasks of actuaries and data scientists is to build good
predictive models for certain phenomena such as the claim size or the number of
claims in insurance. These models ideally exploit given feature information to
enhance the accuracy of prediction. This user guide revisits and clarifies
statistical techniques to assess the calibration or adequacy of a model on the
one hand, and to compare and rank different models on the other hand. In doing
so, it …

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