Risk Sharing with Deep Neural Networks

DOI10.1080/14697688.2024.2307493MaRDI QIDQ6421387zbMATH OpenOpenAlexFDO

Authors Matteo Burzoni, Alessandro Doldi

Publication date 22 December 2022

Full work available at URL https://doi.org/10.1080/14697688.2024.2307493

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Statistical methods; risk measures (91G70)

Abstract: We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our findings with several numerical experiments.

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(3)

• Multivariate systemic risk measures and computation by deep learning algorithms
• End-to-end risk budgeting portfolio optimization with neural networks
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