Centro de Documentacion de Fundación MAPFRE - Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance

MAP20220019934

Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance / Mhamed Mesfioui, Julien Trufin

Sumario: In this note, we establish the best lower and upper bounds on Spearman's rho for zero-inflated continuous random variables studied by Pimentel (Kendall's Tau and Spearman's Rho for Zero Inflated Data (Ph.D. dissertation). Western Michigan University, Kalamazoo, 2009). The proposed bounds are explicitly expressed in terms of the respective probability masses at the origin. As illustrated in an example based on insurance data, these bounds are useful in practice when interpreting the values of Spearman's rho.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 417-423

1. Cálculo actuarial . 2. Matemática del seguro . 3. Dependencia . I. Trufin, Julien . II. Title.