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General stein-type covariance decompositions with applications to insurance and finance

Recurso electrónico / electronic resource
Registro MARC
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100  ‎$0‎MAPA20100003213‎$a‎Furman, Edward
24510‎$a‎General stein-type covariance decompositions with applications to insurance and finance‎$c‎Edward Furman, Ricardas Zitikis
520  ‎$a‎A general multivariate¿ decomposition of covariances is formulated and proved, and its role in the context of financial risk measurement and pricing is demonstrated.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 369-375