Minimizing spectral risk measures applied to Markov decision processes

DOI10.1007/s00186-021-00746-wzbMath1479.90209arXiv2012.04521OpenAlexW4287555370MaRDI QIDQ2238755

Alexander Glauner, Nicole Bäuerle

Publication date: 2 November 2021

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.04521

zbMATH Keywords

spectral risk measuredynamic reinsurancerisk-sensitive Markov decision process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov and semi-Markov decision processes (90C40) Actuarial mathematics (91G05)

Related Items (5)

CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process ⋮ Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning ⋮ Reinforcement learning with dynamic convex risk measures ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control ⋮ Dynamic reinsurance in discrete time minimizing the insurer's cost of capital

Uses Software

• QRM

Cites Work

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