Optimal dynamic longevity hedge with basis risk.
Ken Seng TanChengguo WengJinggong ZhangPublished in: Eur. J. Oper. Res. (2022)
Keyphrases
- conditional expectation
- risk neutral
- neural network
- dynamic programming
- genetic algorithm
- feature selection
- decision making
- optimal solution
- data structure
- high risk
- optimal portfolio
- dynamically changing
- risk analysis
- optimal design
- risk assessment
- risk management
- dynamic environments
- worst case
- artificial neural networks
- social networks