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Weighted risk capital allocations

  • Furman, Edward
  • Zitikis, Ricardas
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    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.

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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 43 (2008)
    Issue (Month): 2 (October)
    Pages: 263-269

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    Handle: RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269
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