Work

Balance and Fairness Through Multicalibration in Nonlife Insurance Pricing

Year: 2026

Type: article

Abstract: Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar premiums. Also, fairness has become a major concern because unfair treatment may expose insurers to lawsuits or reputational damage. Translating fairness into conditional mean independence allows actuaries to combine autocalibration and fairness into the multicalibration concept. This paper studies the properties of multicalibration in an insurance context and proposes practical ways to implement it, through local regression or bias correction within groups including credibility adjustments. A case study based on motor insurance data illustrates the relevance of multicalibration in insurance pricing.

Source: North American Actuarial Journal

DOI: 10.1080/10920277.2026.2738569

Authors: Michel Denuit, Marie Michaelides, Julien Trufin

Institutions: UCLouvain, Heriot-Watt University, Maxwell Institute for Mathematical Sciences, Université Libre de Bruxelles

Language: English

Topic: Insurance and Financial Risk Management

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Funders: Fonds De La Recherche Scientifique - FNRS, BNP Paribas Cardif, Fonds Wetenschappelijk Onderzoek, Fondation du Risque

Awards: G2834614862, G6312143688