Factor risk quantification in annuity models
Year of publication: |
2014
|
---|---|
Authors: | Karabey, Uǧur ; Kleinow, Torsten ; Cairns, Andrew J.G. |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 58.2014, C, p. 34-45
|
Publisher: |
Elsevier |
Subject: | Risk capital allocation | Risk measures | Risk contribution | Life insurance | Hoeffding decomposition | Taylor expansion |
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