16 citations · 18 across the 3 of their papers we have counts for
3 papers
q-fin.PR2026
Design and pricing of a transparent parametric-modeled loss CAT bond: application to German windstorm
John Ery, Erwan Koch
Catastrophe (cat) bonds overcome some lack of reinsurance by sourcing capacity from the wider capital markets. We present a new type of cat bond addressing the known trade-off betw…
q-fin.RM2021★ 16 cited
Assessing asset-liability risk with neural networks
Patrick Cheridito, John Ery, Mario V. Wüthrich
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfo…
q-fin.PR2021★ 2 cited
Solving optimal stopping problems with Deep Q-Learning
John Ery, Loris Michel
We propose a reinforcement learning (RL) approach to model optimal exercise strategies for option-type products. We pursue the RL avenue in order to learn the optimal action-value…