Please Note: This seminar will be given online.
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Actuarial Science and Financial Mathematics seminar series Patrick Cheridito Link to join seminar: Hosted on Webex |
Assessing asset-liability risk and the numerical approximation of conditional expectations
The assessment of the risk of a portfolio of assets and liabilities over a given time period requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We develop a neural networks approach to tackle this problem and derive numerical guarantees for its accuracy. The method is illustrated on different examples from banking and insurance.