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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.
Volume
43
Page
263-269
Number
2
Year
2008
Keywords
Weighted risk capital allocation model (WRCAM); Weighted distributions; Weighted premiums; Weighted allocations; Stein's Lemma; General covariance decomposition; Regression function
Categories
Capital Allocation
Publications
Insurance: Mathematics and Economics
