We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...

One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee-Carter model. These models essentially use the ARIMA processes...

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...