Title of article
Weighted risk capital allocations
Author/Authors
Furman، نويسنده , , Edward and Zitikis، نويسنده , , Ri?ardas، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
7
From page
263
To page
269
Abstract
By extending the notion of weighted premium calculation principles, we introduce weighted risk capital allocations, explore their properties, and develop computational methods. When achieving these goals, we find it particularly fruitful to relate the weighted allocations to general Stein-type covariance decompositions, which are of interest on their own.
Keywords
Weighted risk capital allocation model (WRCAM) , Stein’s Lemma , Weighted allocations , Regression function , General covariance decomposition , Weighted premiums , Weighted distributions
Journal title
Insurance Mathematics and Economics
Serial Year
2008
Journal title
Insurance Mathematics and Economics
Record number
1543628
Link To Document