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Document Details :
Title: General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
Author(s): FURMAN, Edward , ZITIKIS, Ričardas
Journal: ASTIN Bulletin
Volume: 40 Issue: 1 Date: 2010
A general ‘multivariate’ decomposition of covariances is formulated and proved, and its role in the context of financial risk measurement and pricing is demonstrated.