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Risk sharing with deep neural networks
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-02-13 , DOI: 10.1080/14697688.2024.2307493 M. Burzoni 1 , A. Doldi 2, 3 , E. Monzio Compagnoni 3
Quantitative Finance ( IF 1.3 ) Pub Date : 2024-02-13 , DOI: 10.1080/14697688.2024.2307493 M. Burzoni 1 , A. Doldi 2, 3 , E. Monzio Compagnoni 3
Affiliation
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...
中文翻译:
深度神经网络的风险分担
我们考虑在具有潜在不同参考风险度量的代理商之间最佳共享财务状况的问题。该问题相当于计算...的无穷卷积
更新日期:2024-02-13
中文翻译:
深度神经网络的风险分担
我们考虑在具有潜在不同参考风险度量的代理商之间最佳共享财务状况的问题。该问题相当于计算...的无穷卷积