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General stein-type covariance decompositions with applications to insurance and finance
Recurso electrónico / electronic resource
MAP20150027061
Furman, Edward ‌
General stein-type covariance decompositions with applications to insurance and finance / Edward Furman, Ricardas Zitikis
Sumario: A general multivariate¿ decomposition of covariances is formulated and proved, and its role in the context of financial risk measurement and pricing is demonstrated.
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 369-375
I. Title.