previous article in this issue | next article in this issue |
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 Pages: 369-375 DOI: 10.2143/AST.40.1.2049234 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. |