Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning

no code implementations • 7 Jul 2021 • Wing Fung Chong, Haoen Cui, YuXuan Li

This paper proposes a two-phase deep reinforcement learning approach, for hedging variable annuity contracts with both GMMB and GMDB riders, which can address model miscalibration in Black-Scholes financial and constant force of mortality actuarial market environments.

reinforcement-learning Reinforcement Learning (RL)