Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
"We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE)...
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8 févr. 2022
Corporate Controversies and Financial Stability in the Non-Life Insurance Industry
"Neural networks are suggested for learning a map from d -dimensional samples with any underlying dependence structure to multivariate...
8 févr. 2022
Dependence model assessment and selection with DecoupleNets
"Neural networks are suggested for learning a map from d' dimensional samples with any underlying dependence structure to multivariate...
28 déc. 2021
Reinforcement Learning with Dynamic Convex Risk Measures
"We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement...
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