To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon. This article presents the key notions of Deep Asset Liability Management (Deep~ALM) for a technological transformation in the management of assets and liabilities along a whole term structure. The approach has a profound impact on a wide range of applications such as optimal decision making for treasurers, optimal procurement of commodities or the optimisation of hydroelectric power plants. As a by-product, intriguing aspects of goal-based investing or Asset Liability Management (ALM) in abstract terms concerning urgent challenges of our society are expected alongside. We illustrate the potential of the approach in a stylised case.
@article{arxiv.2009.05034,
title = {Deep Replication of a Runoff Portfolio},
author = {Thomas Krabichler and Josef Teichmann},
journal= {arXiv preprint arXiv:2009.05034},
year = {2020}
}