Hedging targeted risks with reinforcement learning : application to life insurance contracts with embedded guarantees
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<title>Hedging targeted risks with reinforcement learning</title>
<subTitle>: application to life insurance contracts with embedded guarantees</subTitle>
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<namePart>Godin, Fréderic</namePart>
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<namePart>International Actuarial Association</namePart>
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<abstract displayLabel="Summary">The 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</abstract>
<note type="statement of responsibility">Carlos Octavio Pérez-Mendoza and Frédéric Godin</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080608538">
<topic>Seguros de vida riesgo</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080573614">
<topic>Renta vitalicia</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080611200">
<topic>Inteligencia artificial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080608606">
<topic>Simulación Monte Carlo</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 27 p.</text>
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