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Robust risk aggregation with neural networks

Published:2020-06-13 Issue:4 Volume:30 Page:1229-1272
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Eckstein Stephan¹,Kupper Michael¹,Pohl Mathias²^ORCID

Affiliation:

1. Department of Mathematics University of Konstanz Konstanz Germany

2. Faculty of Business, Economics & Statistics University of Vienna Vienna Austria

Funder

Austrian Science Fund

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12280

Reference52 articles.

1. Bounds on total economic capital: the DNB case study

2. Robust expected utility maximization with medial limits

3. Computational aspects of robust optimized certainty equivalents and option pricing

4. Data‐driven stochastic programming using phi‐divergences;Bayraksan G.;Tutorials in Operations Research,2015

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