Pseudo-model-free hedging for variable annuities via deep reinforcement learning
Wing Fung Chong, Haoen Cui and Yuxuan Li
| Year of publication: |
2023
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| Authors: | Chong, Wing Fung ; Cui, Haoen ; Li, Yuxuan |
| Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 17.2023, 3, p. 503-546
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| Subject: | Hedging strategy self-revision | Online learning phase | Sequential anchor-hedging reward signals | Single terminal reward signals | Training phase | Two-phase deep reinforcement learning | Variable annuities hedging | Hedging | Theorie | Theory | Lernen | Learning | Lernprozess | Learning process | Signalling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499523000027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014436787