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General Stein-Type Covariance Decompositions with Applications to Insurance and Finance

Published online by Cambridge University Press:  09 August 2013

Edward Furman  and
Ričardas Zitikis
Edward Furman
Affiliation:
Department of Mathematics and Statistics, York University, Toronto, Ontario M3J 1P3, Canada., E-Mail: efurman@mathstat.yorku.ca
Ričardas Zitikis
Affiliation:
Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario N6A 5B7, Canada., E-Mail: zitikis@stats.uwo.ca
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Abstract

A general ‘multivariate’ decomposition of covariances is formulated and proved, and its role in the context of financial risk measurement and pricing is demonstrated.

Keywords

Covariance decompositionsinsurance pricingeconomic pricingweighted allocationscapital asset pricing model
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 40 , Issue 1 , May 2010 , pp. 369 - 375
Copyright
Copyright © International Actuarial Association 2010

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