Decomposing dynamic risks into risk components
Katja Schilling, Daniel Bauer, Marcus C. Christiansen, Alexander Kling
| Year of publication: |
2020
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|---|---|
| Authors: | Schilling, Katja ; Bauer, Daniel |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 66.2020, 12, p. 5738-5756
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| Subject: | risk decomposition | martingale representation | life insurance | Lebensversicherung | Life insurance | Risiko | Risk | Risikomodell | Risk model | Risikomanagement | Risk management | Dekompositionsverfahren | Decomposition method | Theorie | Theory | Martingal | Martingale | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2019.3522 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012391415