GAMEX seminar series
Description: This online seminar is organized within the GAMEX project with the support of the Glasgow–Edinburgh Extremes Network (GLE²N) and CIRCE.
Date: 10 April 2026
Time: 9:30 ET (13:30 UTC / 14:30 BST / 15:30 CEST)
Speaker: Frédéric Godin (Concordia University)
Title:
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients
Abstract:
We tackle the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process. This problem is particularly challenging due to the scarcity of observations in the far tail of the distribution of cumulative costs (negative rewards). A policy gradient algorithm is developed, that we call POTPG. It is based on approximations of the tail risk derived from extreme value theory. Numerical experiments highlight the out-performance of our method over common benchmarks relying on the empirical distribution. An application to financial risk management, more precisely to the dynamic hedging of a financial option, is presented.
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