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 the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our findings with several numerical experiments.

Risk sharing with deep neural networks / M. Burzoni, A. Doldi, E. Monzio Compagnoni. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 24:2(2024), pp. 233-252. [10.1080/14697688.2024.2307493]

Risk sharing with deep neural networks

M. Burzoni
Co-primo
;
A. Doldi
Co-primo
;
2024

Abstract

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 the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our findings with several numerical experiments.
Risk sharing; Deep neural networks; Risk allocation; Inf-convolution; Universal approximation theorem
Settore STAT-04/A - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
2024
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/1146575
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