Furman, Edward; Zitikis, Ričardas General Stein-type covariance decompositions with applications to insurance and finance. (English) Zbl 1191.62097 Astin Bull. 40, No. 1, 369-375 (2010). Summary: A general ‘multivariate’ decomposition of covariances is formulated and proved, and its role in the context of financial risk measurement and pricing is demonstrated. Cited in 10 Documents MSC: 62H10 Multivariate distribution of statistics 62P05 Applications of statistics to actuarial sciences and financial mathematics 91B30 Risk theory, insurance (MSC2010) 91G70 Statistical methods; risk measures PDFBibTeX XMLCite \textit{E. Furman} and \textit{R. Zitikis}, ASTIN Bull. 40, No. 1, 369--375 (2010; Zbl 1191.62097) Full Text: DOI References: [1] DOI: 10.1016/j.insmatheco.2007.10.006 · Zbl 1141.91509 · doi:10.1016/j.insmatheco.2007.10.006 [2] A Course in Credibility Theory and its Applications (2005) · Zbl 1108.91001 [3] DOI: 10.1016/j.insmatheco.2009.11.004 · Zbl 1231.60013 · doi:10.1016/j.insmatheco.2009.11.004 [4] Statistical Analysis of Finite Mixture Distributions (1986) [5] Financial Economics with Applicationsto Investment, Insurance and Pensions (1998) [6] DOI: 10.1016/j.insmatheco.2008.07.003 · Zbl 1189.62163 · doi:10.1016/j.insmatheco.2008.07.003 [7] In:Economic Capital: A Practitioner Guide pp 303– (2004) [8] DOI: 10.1111/j.1467-9965.2005.00227.x · Zbl 1102.91049 · doi:10.1111/j.1467-9965.2005.00227.x [9] Pricing Group Life Insurance, Weighted Premiums, and CAPM (2010) [10] DOI: 10.1080/10920277.2009.10597570 · doi:10.1080/10920277.2009.10597570 [11] DOI: 10.1214/aos/1176345632 · Zbl 0476.62035 · doi:10.1214/aos/1176345632 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.