Document Zbl 1189.62163

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Math. Econ.</a> <a href="/?q=in%3A232509" title="Articles in this Issue">43, No. 2, 263-269 (2008)</a>. </div> <div class="abstract">Summary: 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.</div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=rf%3A5717860">Cited in <strong>67</strong> Documents</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A62P05" title="MSC2020">62P05</a> </td> <td class="space"> Applications of statistics to actuarial sciences and financial mathematics </td> </tr><tr> <td class="mono"> 65C60 </td> <td class="space"> Computational problems in statistics (MSC2010) </td> </tr><tr> <td class="mono"> 91B30 </td> <td class="space"> Risk theory, insurance (MSC2010) </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Aweighted+risk+capital+allocation+model+%28WRCAM%29">weighted risk capital allocation model (WRCAM)</a>; <a href="/?q=ut%3Aweighted+distributions">weighted distributions</a>; <a href="/?q=ut%3Aweighted+premiums">weighted premiums</a>; <a href="/?q=ut%3Aweighted+allocations">weighted allocations</a>; <a href="/?q=ut%3AStein%27s+lemma">Stein’s lemma</a>; <a href="/?q=ut%3Ageneral+covariance+decomposition">general covariance decomposition</a>; <a href="/?q=ut%3Aregression+function">regression function</a></div>  <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;">  </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function">  <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1189.62163" data-ciurl="/ci/05717860" data-biburl="/bibtex/05717860.bib" data-amsurl="/amsrefs/05717860.bib" data-xmlurl="/xml/05717860.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/05717860.pdf" title="Zbl 1189.62163 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1016/j.insmatheco.2008.07.003" aria-label="DOI for “Weighted risk capital allocations”" title="10.1016/j.insmatheco.2008.07.003">DOI</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Arnold, B. 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