Weighted risk capital allocations

Edward Furman and Ricardas Zitikis

Insurance: Mathematics and Economics, 2008, vol. 43, issue 2, 263-269

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.

Keywords: Weighted; risk; capital; allocation; model; (WRCAM); Weighted; distributions; Weighted; premiums; Weighted; allocations; Stein's; Lemma; General; covariance; decomposition; Regression; function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (65)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269

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