Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance
| Autor: | Mhamed Mesfioui, Julien Trufin |
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| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Multivariate statistics General Mathematics Kendall tau rank correlation coefficient 010102 general mathematics Zero (complex analysis) Bivariate analysis 01 natural sciences Upper and lower bounds Data set Continuous variable 010104 statistics & probability Statistics Statistics::Methodology Motor insurance 0101 mathematics Mathematics |
| Zdroj: | Methodology and Computing in Applied Probability. 24:1051-1059 |
| ISSN: | 1573-7713 1387-5841 |
| Popis: | In this note, we derive upper bounds on Kendall’s tau and Spearman’s rho for multivariate zero-inflated continuous variables often encountered in insurance. A lower bound for Spearman’s rho is also established in the bivariate case. These bounds are easy to compute and can be estimated from a data set of zero-inflated random vectors as illustrated in this note with a motor insurance portfolio. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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