Risk allocation through shapley decompositions, with applications to variable annuities
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 |
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