Weighted risk capital allocations |
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| Authors: | Edward Furman Ri?ardas Zitikis |
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| Institution: | a Department of Mathematics and Statistics, York University, Toronto, Ontario M3J 1P3, Canada
b Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario N6A 5B7, Canada |
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| Abstract: | By extending the notion of weighted premium calculation principles, we introduce weighted risk capital allocations, explore their properties, and develop computational methods. When achieving these goals, we find it particularly fruitful to relate the weighted allocations to general Stein-type covariance decompositions, which are of interest on their own. |
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| Keywords: | Weighted risk capital allocation model (WRCAM) Weighted distributions Weighted premiums Weighted allocations Stein&rsquo s Lemma General covariance decomposition Regression function |
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