NECESSARY AND SUFFICIENT CONDITIONS FOR DOMINATION RESULTS FOR PROPER SCORING RULES

Some Results on Necessary Conditions for Tow Quasidifferentiable Optimization Problems

Characterization of Proper and Strictly Proper Scoring Rules for Quantiles

We give necessary and sufficient conditions for a scoring rule to be proper (or strictly proper) for a quantile if utility is linear, and the distribution is unrestricted. We also give results when the set of distributions is limited, for example, to distributions that have first moments.

Sufficient conditions for univalence and starlikeness

It is known that the condition $mathfrak {Re} left{zf'(z)/f(z)right}>0$, $|z|

Proper scoring rules for general decision models

On the domain of Choquet expected utility preferences with risk neutral lottery evaluation and totally monotone capacities, we demonstrate that proper scoring rules do not exist. This implies the non-existence of proper scoring rules for any larger class of preferences (CEU with convex capacities, multiple priors). We also show that if a decision maker whose behavior conforms to the multiple pr...

Local Proper Scoring Rules

Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if it encourages truthful reporting. It is local of order λ if the score depends on the predictive density only through its value and its derivatives of order up to λ at the observation. Previously,...