| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20260013374 |
| 003 | | | MAP |
| 005 | | | 20260603180821.0 |
| 008 | | | 260428e20260420bel|||p |0|||b|eng d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | | | $0MAPA20260008066$aPérez-Mendoza, Carlos Octavio |
| 245 | 1 | 0 | $aHedging targeted risks with reinforcement learning$b: application to life insurance contracts with embedded guarantees$cCarlos Octavio Pérez-Mendoza and Frédéric Godin |
| 520 | | | $aThe article presents a risk hedging framework based on deep reinforcement learning applied to life insurance contracts with embedded financial guarantees, such as variable annuities. The methodology relies on Shapley value decompositions to attribute the contributions of different risk sources to the contract's cash flows. Building on this decomposition, a targeted hedging strategy is developed that allows only selected risks to be mitigated while preserving exposure to the remaining ones. The model further incorporates a local risk penalization based on Conditional Value-at-Risk (CVaR) to enhance hedging stability. Numerical results demonstrate a significant improvement over traditional methods such as delta hedging and standard deep hedging |
| 650 | | 4 | $0MAPA20080579258$aCálculo actuarial |
| 650 | | 4 | $0MAPA20080608538$aSeguros de vida riesgo |
| 650 | | 4 | $0MAPA20080591182$aGerencia de riesgos |
| 650 | | 4 | $0MAPA20080573614$aRenta vitalicia |
| 650 | | 4 | $0MAPA20080611200$aInteligencia artificial |
| 650 | | 4 | $0MAPA20080608606$aSimulación Monte Carlo |
| 700 | 1 | | $0MAPA20180010583$aGodin, Fréderic |
| 710 | 2 | | $0MAPA20100017661$aInternational Actuarial Association |
| 773 | 0 | | $wMAP20077000420$g20/04/2026 Volumen 56 Número 2 - abril 2026 , 27 p.$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |
