| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077443 | Insurance: Mathematics and Economics | 2008 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Edward Furman, RiÄardas Zitikis,