Corpus ID: 235755195

Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning

@inproceedings{Chong2021PseudoModelFreeHF,
  title={Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning},
  author={Wing Fung Chong and Haoen Cui and Yuxuan Li},
  year={2021}
}
This paper applies a deep reinforcement learning approach to revisit the hedging problem of variable annuities. Instead of assuming actuarial and financial dualmarket model a priori, the reinforcement learning agent learns how to hedge by collecting anchor-hedging reward signals through interactions with the market. By the recently advanced proximal policy optimization, the pseudo-model-free reinforcement learning agent performs equally well as the correct Delta, while outperforms the… Expand
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