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

DOI10.1007/S13385-021-00296-9MaRDI QIDQ2157232zbMATH OpenOpenAlexFDO

Authors Julien Trufin, Mhamed Mesfioui

Publication date 27 July 2022

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/336578/3/Bounds_Srho_ZID_Revision.pdf

zbMATH Keywords

bivariate zero-inflated dataFréchet-Hoeffding boundsSpearman's rho

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

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Cites work

• Association of zero-inflated continuous variables
• Bounds on Kendall's tau for zero-inflated continuous variables
• Concordance measures for multivariate non-continuous random vectors
• On rank correlation measures for non-continuous random variables
• On the properties of some nonparametric concordance measures in the discrete case

Cited in

(3)

• Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance
• Bounds on Spearman's rho when at least one random variable is discrete
• Spearman's rho for zero-inflated count data: formulation and attainable bounds

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