Risk allocation through shapley decompositions, with applications to variable annuities
Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz and Edwin Hon-Man Ng
| Year of publication: |
2023
|
|---|---|
| Authors: | Godin, Frédéric ; Hamel, Emmanuel ; Gaillardetz, Patrice ; Ng, Edwin Hon-Man |
| Subject: | profit and loss analysis | Risk allocation | risk attribution | segregated funds | Shapley decomposition | stochastic on stochastic | variable annuities | Theorie | Theory | Risiko | Risk | Risikomanagement | Risk management | Dekompositionsverfahren | Decomposition method | Stochastischer Prozess | Stochastic process | Private Altersvorsorge | Private retirement provision | Portfolio-Management | Portfolio selection | Shapley-Wert | Shapley value | Lebensversicherung | Life insurance | Risikomodell | Risk model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2023.7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014320258