Risk allocation through shapley decompositions, with applications to variable annuities

DOI10.1017/asb.2023.7zbMath1520.91327MaRDI QIDQ6174080

Patrice Gaillardetz, Unnamed Author, Frédéric Godin, Emmanuel Hamel

Publication date: 13 July 2023

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

segregated fundsvariable annuitiesrisk attributionrisk allocationShapley decompositionprofit and loss analysisstochastic on stochastic

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Arbitrage Theory in Continuous Time
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks

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