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.
Keywords: Covariance decompositions; insurance pricing; economic pricing; weighted allocations; capital asset pricing model.
Volume
Vol. 40, No. 1
Page
1-7
Year
2010
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Allocation
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
