Premium control with reinforcement learning

DOI10.1017/asb.2023.13zbMath1520.91347OpenAlexW4364362328MaRDI QIDQ6174076

Filip Lindskog, L. Palmborg

Publication date: 13 July 2023

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2023.13

zbMATH Keywords

Markov decision processreinforcement learningpremium control

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Markov and semi-Markov decision processes (90C40) Actuarial mathematics (91G05)

Cites Work

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• Convergence results for single-step on-policy reinforcement-learning algorithms
• Simple statistical gradient-following algorithms for connectionist reinforcement learning
• The convergence of \(TD(\lambda)\) for general \(\lambda\)
• Neural networks-based backward scheme for fully nonlinear PDEs
• Deep hedging of long-term financial derivatives
• Double Chain Ladder
• Lectures on the use of control theory in insurance
• An analysis of temporal-difference learning with function approximation
• Premium control in an insurance system, an approach using linear control theory
• Deep hedging

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