Article ID Journal Published Year Pages File Type
5076824 Insurance: Mathematics and Economics 2012 4 Pages PDF
Abstract
► We extend the Bayes premium calculation to general multivariate elliptical risks. ► The paper discusses the connection between Stein's lemma and the Brown identity. ► Interesting aspects of the multivariate Gaussian model are revealed for a special choice of the covariance matrix.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Calculation of Bayes premium for conditional elliptical risks
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