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Beyond the pearson correlation : heavy-tailed risks, weighted gini correlations, and a gini-type weighted insurance pricing model

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20170030546
003  MAP
005  20170920172032.0
008  170920e20170807bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20100003213‎$a‎Furman, Edward
24510‎$a‎Beyond the pearson correlation‎$b‎: heavy-tailed risks, weighted gini correlations, and a gini-type weighted insurance pricing model ‎$c‎Edward Furman, Ricardas Zitikis
300  ‎$a‎24 p.
520  ‎$a‎Gini-type correlation coefficients have become increasingly important in a variety of research areas, including economics, insurance and finance, where modellingwith heavy-tailed distributions is of pivotal importance. In such situations, naturally, the classical Pearson correlation coefficient is of little use. On the other hand, it has been observed that when light-tailed situations are of interest, and hence when both the Gini-type and Pearson correlation coefficients are well defined and finite, these coefficients are related and sometimes even coincide. In general, understanding how these correlation coefficients are related has been an illusive task. In this paper, we put forward arguments that establish such a connection via certain regression-type equations. This, in turn, allows us to introduce a Gini-type weighted insurance pricing model that works in heavytailed situations and thus provides a natural alternative to the classical capital asset pricing model. We illustrate our theoretical considerations using several bivariate distributions, such as elliptical and those with heavy-tailed Pareto margins.
650 4‎$0‎MAPA20080554125‎$a‎Ecuaciones
650 4‎$0‎MAPA20080589004‎$a‎Análisis matemático
650 4‎$0‎MAPA20080564322‎$a‎Tarificación
650 4‎$0‎MAPA20080621285‎$a‎Distribuciones estadísticas
7001 ‎$0‎MAPA20170012085‎$a‎Zitikis, Ricardas
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 919-942