Risk sharing with deep neural networks-Reference-Cited by-同舟云学术

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Risk sharing with deep neural networks

Published:2024-02 Issue:2 Volume:24 Page:233-252
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Burzoni M.¹^ORCID,Doldi A.²³^ORCID,Monzio Compagnoni E.³^ORCID

Affiliation:

1. Dipartimento di Matematica, Università degli Studi di Milano, Milano, Italy

2. Department of Economics and Management, Università degli Studi di Firenze, Firenze, Italy

3. Department of Mathematics & Computer Science, University of Basel, Basel, Switzerland

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2307493

Reference49 articles.

1. Optimal risk sharing with non-monotone monetary functionals

2. Aliprantis, C.D. and Border, K.C., Infinite Dimensional Analysis, 3rd ed., 2006 (Springer: Berlin).

3. Inf-convolution of risk measures and optimal risk transfer

4. Biagini S. and Frittelli M. On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures. In Optimality and Risk-Modern Trends in Mathematical Finance: The Kabanov Festschrift pp. 1–28 2010 (Springer: Berlin Heidelberg).

5. Convergence of Probability Measures

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