Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance
DOI10.1007/S13385-021-00296-9zbMATH Open1493.62589OpenAlexW3211708429MaRDI QIDQ2157232FDOQ2157232
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
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Actuarial mathematics (91G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
- On rank correlation measures for non-continuous random variables
- Concordance measures for multivariate non-continuous random vectors
- On the properties of some nonparametric concordance measures in the discrete case
- Association of zero-inflated continuous variables
- Bounds on Kendall's tau for zero-inflated continuous variables
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