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Markov decision processes with recursive risk measures

Bäuerle, Nicole; Glauer, Alexander - In: European journal of operational research : EJOR 296 (2022) 3, pp. 953-966

Persistent link: https://www.econbiz.de/10013255611

Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268

Persistent link: https://www.econbiz.de/10014423851

Dual SDDP for risk-averse multistage stochastic programs

Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337

Persistent link: https://www.econbiz.de/10014374928

Risk neutral reformulation approach to risk averse stochastic programming

Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10012239878

Robust pricing in insurance and energy markets

Escobar Luna-Barrera, Debora Daniela - 2019

scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution …. Another example where risk is exchanged for a fixed price is swap contracts. Electricity futures can be seen as swaps where …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …

Persistent link: https://www.econbiz.de/10012392510

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

Technical note: risk-averse regret minimization in multistage stochastic programs

Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - In: Operations research 72 (2024) 4, pp. 1727-1738

Persistent link: https://www.econbiz.de/10015045703

Quantile Markov decision processes

Li, Xiaocheng; Zhong, Huaiyang; Brandeau, Margaret L. - In: Operations research 70 (2022) 3, pp. 1428-1447

Persistent link: https://www.econbiz.de/10013366124

Optimising darts strategy using Markov decision processes and reinforcement learning

Baird, Graham - In: Journal of the Operational Research Society 71 (2020) 6, pp. 1020-1037

Persistent link: https://www.econbiz.de/10012264495

The value iteration algorithm is not strongly polynomial for discounted dynamic programming

Feinberg, Eugene A.; Huang, Jefferson - In: Operations research letters 42 (2014) 2, pp. 130-131

Persistent link: https://www.econbiz.de/10010364590