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General Stein-type covariance decompositions with applications to insurance and finance. (English) Zbl 1191.62097

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.

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
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