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

DOI10.2143/AST.40.1.2049234zbMath1191.62097OpenAlexW3121492502MaRDI 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

Related Items (10)

PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ How a probabilistic analogue of the mean value theorem yields stein-type covariance identities ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Statistical foundations for assessing the difference between the classical and weighted-Gini betas ⋮ Grüss-type bounds for covariances and the notion of quadrant dependence in expectation ⋮ On a multivariate Pareto distribution ⋮ Grüss-type bounds for the covariance of transformed random variables ⋮ Agricultural Insurance Ratemaking: Development of a New Premium Principle

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

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