OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH

DOI10.1017/asb.2020.9zbMath1447.91129MaRDI QIDQ5119564

Zhuo Jin, Hailiang Yang, Xiang Cheng

Publication date: 31 August 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.9

zbMATH Keywords

neural networks; Markov chain approximation; deep learning; reinsurance strategies

Mathematics Subject Classification ID

68T07: Artificial neural networks and deep learning

60J28: Applications of continuous-time Markov processes on discrete state spaces

91G05: Actuarial mathematics

Related Items

The balance property in neural network modelling, On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy, On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy, A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis, A survey of numerical solutions for stochastic control problems: some recent progress

Uses Software

• Adam

Cites Work

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