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

Edward Furman and Ričardas Zitikis

ASTIN Bulletin, 2010, vol. 40, issue 1, 369-375

Abstract: A general ‘multivariate’ decomposition of covariances is formulated and proved, and its role in the context of financial risk measurement and pricing is demonstrated.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:40:y:2010:i:01:p:369-375_00

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().