This talk proposes a new index to measure the degree of dependence between two risks, which assumes a value between zero and one and is equal to zero if and only if the risk is subindependent. The concept of subindependence is stronger than uncorrelatedness but weaker than independence. The proposed index is based on the characteristic function and can be simplified into the expression of moments. We study its theoretical properties and show that there is a very simple calculation formula for the corresponding statistical measure. Their asymptotic properties and applications are also discussed.
Yin Chuancun, Second-Class Professor at Qufu Normal University. He has presided over a number of National Natural Science Foundation projects and provincial/ministerial-level research projects. His recent research interests include risk measurement, stochastic orders, and multivariate statistical analysis.
He has published more than 100 SCI and SSCI papers in domestic and international academic journals, including authoritative periodicals such as Bernoulli, Insurance: Mathematics and Economics (IME), ASTIN Bulletin, Scandinavian Actuarial Journal (SAJ), European Journal of Operational Research (EJOR), and Journal of Multivariate Analysis (JMVA).
Currently, he serves as Associate Editor (AE) for three journal series including Communications in Statistics-Theory and Methods, and is an editorial board member of Mathematical Methods of Statistics.
