Pesquisa de referências

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. Título.