Premium control with reinforcement learning
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Publication:6174076
DOI10.1017/ASB.2023.13zbMATH Open1520.91347OpenAlexW4364362328MaRDI QIDQ6174076FDOQ6174076
Authors: L. Palmborg, Filip Lindskog 
Publication date: 13 July 2023
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2023.13
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Cites Work
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- Simple statistical gradient-following algorithms for connectionist reinforcement learning
- The convergence of \(TD(\lambda)\) for general \(\lambda\)
- An analysis of temporal-difference learning with function approximation
- Reinforcement learning. An introduction
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- Convergence results for single-step on-policy reinforcement-learning algorithms
- Lectures on the use of control theory in insurance
- Premium control in an insurance system, an approach using linear control theory
- Neural networks-based backward scheme for fully nonlinear PDEs
- Deep hedging
- Deep hedging of long-term financial derivatives
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