General Stein-Type Covariance Decompositions with Applications to Insurance and Finance

DOI10.2143/AST.40.1.2049234MaRDI QIDQ3569721zbMATH OpenOpenAlexFDO

Authors Edward Furman, Ričardas Zitikis

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.40.1.2049234

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A course in credibility theory and its applications
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Estimation of the mean of a multivariate normal distribution
• On a multivariate Pareto distribution
• Weighted premium calculation principles
• Weighted risk capital allocations

Cited in

(11)

• Statistical foundations for assessing the difference between the classical and weighted-Gini betas
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Paths and indices of maximal tail dependence
• A form of multivariate Pareto distribution with applications to financial risk measurement
• How a probabilistic analogue of the mean value theorem yields stein-type covariance identities
• Agricultural Insurance Ratemaking: Development of a New Premium Principle
• Grüss-type bounds for covariances and the notion of quadrant dependence in expectation
• On probabilistic mean value theorem and covariance identities
• On a multivariate Pareto distribution
• Grüss-type bounds for the covariance of transformed random variables

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