Pricing equity-linked life insurance contracts with multiple risk factors by neural networks

@article{Barigou2022PricingEL,
  title={Pricing equity-linked life insurance contracts with multiple risk factors by neural networks},
  author={Karim Barigou and Lukasz Delong},
  journal={J. Comput. Appl. Math.},
  year={2022},
  volume={404},
  pages={113922}
}
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INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH
TLDR
A neural network algorithm for the valuation and hedging of insurance liabilities based on a backward iterations scheme is presented, which leads to portfolios that are neutral with respect to a risk measure, such as Value-at-Risk or the expectile.

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