Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance

Mhamed Mesfioui and Julien Trufin ()
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Mhamed Mesfioui: Université du Québec à Trois-Rivières
Julien Trufin: Université Libre de Bruxelles (ULB)

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 1051-1059

Abstract: Abstract 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.

Keywords: Kendall’s tau; Spearman’s rho; Multivariate zero-inflated data; Upper bounds; Insurance; 62H20; Measures of association (Correlation · Canonical correlation · etc.) (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-021-09869-3

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