14 citations · 14 across the 2 of their papers we have counts for
2 papers
q-fin.CP2020★ 14 cited
A neural network model for solvency calculations in life insurance
Lucio Fernandez-Arjona
Insurance companies make extensive use of Monte Carlo simulations in their capital and solvency models. To overcome the computational problems associated with Monte Carlo simulatio…
q-fin.RM2020
A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Lucio Fernandez-Arjona, Damir Filipović
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised se…