Centro de Documentacion de Fundación MAPFRE - Beyond the pearson correlation : heavy-tailed risks, weighted gini correlations, and a gini-type weighted insurance pricing model

MAP20170030546

Beyond the pearson correlation : heavy-tailed risks, weighted gini correlations, and a gini-type weighted insurance pricing model / Edward Furman, Ricardas Zitikis

24 p.

Sumario: Gini-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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 919-942

1. Ecuaciones . 2. Análisis matemático . 3. Tarificación . 4. Distribuciones estadísticas . I. Zitikis, Ricardas . II. Title.