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

DOI10.2143/AST.40.1.2049234zbMath1191.62097MaRDI QIDQ3569721

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

62H10: Multivariate distribution of statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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Cites Work

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