Weighted Premium Calculation Principles

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Weighted Risk Capital Allocations (2008, unknown): “In the purely actuarial case, i.e., when X = Y , the allocation Av,w[X, Y ] reduces (as it should, see property (2.1)) to the generalized weighted premium Hv,w[X] = E[v(X)w(X)] E[w(X)] , which can be traced back to Heilmann (1989); see also Section 4 in Furman and Zitikis (2008).”
A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, background): “(Furman and Zitikis (2008a), see also Choo and de Jong (2009, 2010.)”
Weighted Pricing Functionals With Applications to Insurance (2009, background): “This idea surfaced in Furman and Zitikis (2008b) and was subsequently elaborated on by Furman and Zitikis (2009).”
VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009, background): “One is to investigate the optimal reinsurance under more general premium principles, such as the weighted premium principle recently proposed by Furman and Zitikis (2008).”
Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “, Furman and Zitikis (2008b). It should be noted that apart from purely regulatory interest, the functional A is often employed for, e.”