Skip to main content
SpringerLink
Log in

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

  • Letter
  • Published:
European Actuarial Journal Aims and scope Submit manuscript

Abstract

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Fig. 1
Fig. 2
Fig. 3

References

  1. Denuit M, Mesfioui M (2017) Bounds on Kendall’s tau for zero-inflated continuous variables. Stat Probab Lett 126:173–178

    Article  MathSciNet  Google Scholar 

  2. Mesfioui M, Quessy JF (2010) Concordance measures for multivariate non-continuous random vectors. J Multivar Anal 101:2398–2410

    Article  MathSciNet  Google Scholar 

  3. Mesfioui M, Tajar A (2005) On the properties of some nonparametric concordance measures in the discrete case. Nonparametr Stat 17:541–554

    Article  MathSciNet  Google Scholar 

  4. Nešlehová J (2007) On rank correlation measures for non-continuous random variables. J Multivar Anal 98(3):544–567

    Article  MathSciNet  Google Scholar 

  5. Pechon F, Denuit M, Trufin J (2021) Home and Motor insurance joined at a household level using multivariate credibility. Ann Actuar Sci 15(1):82–114

    Article  Google Scholar 

  6. Pimentel RS (2009) Kendall’s Tau and Spearman’s Rho for Zero Inflated Data (Ph.D. dissertation). Western Michigan University, Kalamazoo

  7. Pimentel RS, Niewiadomska-Bugaj M, Wang JC (2015) Association of zero-inflated continuous variables. Stat Probab Lett 96:61–67

    Article  MathSciNet  Google Scholar 

Download references

Acknowledgements

Mhamed Mesfioui acknowledges the financial support of the Natural Sciences and Engineering Research Council of Canada No. 261968-2013.

Author information

Authors and Affiliations

  1. Département de mathématiques et d’informatique, Université du Québec à Trois-Rivières, Trois-Rivières, QC, G9A 5H7, Canada

    Mhamed Mesfioui

  2. Department of Mathematics, Université Libre de Bruxelles (ULB), Brussels, Belgium

    Julien Trufin

Authors
  1. Mhamed Mesfioui
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Julien Trufin
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Julien Trufin.

Additional information

Publisher's Note

Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Mesfioui, M., Trufin, J. Best upper and lower bounds on Spearman’s rho for zero-inflated continuous variables and their application to insurance. Eur. Actuar. J. 12, 417–423 (2022). https://doi.org/10.1007/s13385-021-00296-9

Download citation

  • Received:

  • Revised:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s13385-021-00296-9

Keywords

Search

Navigation