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
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
Journal title :
Insurance Mathematics and Economics
