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
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|---|---|
| Authors: | Godin, Frédéric ; Hamel, Emmanuel ; Gaillardetz, Patrice ; Ng, Edwin Hon-Man |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 53.2023, 2, p. 311-331
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| Subject: | profit and loss analysis | Risk allocation | risk attribution | segregated funds | Shapley decomposition | stochastic on stochastic | variable annuities | Theorie | Theory | Risiko | Risk | Dekompositionsverfahren | Decomposition method | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Private Altersvorsorge | Private retirement provision | Lebensversicherung | Life insurance | Finanzmathematik | Mathematical finance |
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