Weighted risk capital allocations
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.
|Year of publication:||
|Authors:||Furman, Edward ; Zitikis, Ricardas|
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 2, p. 263-269
|Keywords:||Weighted risk capital allocation model (WRCAM) Weighted distributions Weighted premiums Weighted allocations Stein's Lemma General covariance decomposition Regression function|