English, Article edition: Weighted risk capital allocations Furman, Edward; Zitikis, Ricardas

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Bookmark: http://trove.nla.gov.au/version/10859
Physical Description
  • article
Language
  • English

Edition details

Title
  • Weighted risk capital allocations
Author
  • Furman, Edward
  • Zitikis, Ricardas
Physical Description
  • article
Notes
  • 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.
  • Weighted risk capital allocation model (WRCAM) Weighted distributions Weighted premiums Weighted allocations Stein's Lemma General covariance decomposition Regression function
  • RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269
Language
  • English
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