6 citations · 14 across the 6 of their papers we have counts for
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q-fin.RM2020★ 6 cited
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…
q-fin.CP2020
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…