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

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