Risk allocation through shapley decompositions, with applications to variable annuities (Q6174080)
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scientific article; zbMATH DE number 7712479
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| English | Risk allocation through shapley decompositions, with applications to variable annuities |
scientific article; zbMATH DE number 7712479 |
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Risk allocation through shapley decompositions, with applications to variable annuities (English)
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13 July 2023
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risk allocation
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risk attribution
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profit and loss analysis
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variable annuities
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segregated funds
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stochastic on stochastic
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Shapley decomposition
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0.8730944
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0.87023777
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0.86239654
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0.8566716
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0.85326815
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0.8529692
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0.8495332
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0.8482273
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0.84379524
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