In the past two decades increasing computational power resulted in the development of more advanced claims reserving techniques, allowing the stochastic branch to overcome the deterministic methods, resulting in forecasts of enhanced quality. Hence, not only point estimates, but predictive...

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...