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

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<title>Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance</title>
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<namePart>Mesfioui, Mhamed</namePart>
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<abstract displayLabel="Summary">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.

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<note type="statement of responsibility">Mhamed Mesfioui, Julien Trufin</note>
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<topic>Cálculo actuarial</topic>
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<topic>Matemática del seguro</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 417-423</text>
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