6 citations · 14 across the 6 of their papers we have counts for
7 papers
Risk averse non-stationary multi-armed bandits
Leo Benac, Frédéric Godin
This paper tackles the risk averse multi-armed bandits problem when incurred losses are non-stationary. The conditional value-at-risk (CVaR) is used as the objective function. Two…
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Alexandre Carbonneau, Frédéric Godin
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move b…
Bias-Corrected Peaks-Over-Threshold Estimation of the CVaR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
The conditional value-at-risk (CVaR) is a useful risk measure in fields such as machine learning, finance, insurance, energy, etc. When measuring very extreme risk, the commonly us…
Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments
Alexandre Carbonneau, Frédéric Godin
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strate…
Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer
Carlos Andrés Araiza Iturria, Frédéric Godin, Mélina Mailhot
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated ca…
Equal Risk Pricing of Derivatives with Deep Hedging
Alexandre Carbonneau, Frédéric Godin
This article presents a deep reinforcement learning approach to price and hedge financial derivatives. This approach extends the work of Guo and Zhu (2017) who recently introduced…
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is th…