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Distributionally robust Markov decision processes and their connection to risk measures
Bäuerle, Nicole; Glauner, Alexander - In: Mathematics of operations research 47 (2022) 3, pp. 1757-1780
Persistent link: https://www.econbiz.de/10013374970
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Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
Glauner, Alexander - In: Scandinavian actuarial journal 2022 (2022) 4, pp. 279-306
Persistent link: https://www.econbiz.de/10013370638
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Markov decision processes with Average-Value-at-Risk criteria
Bäuerle, Nicole; Ott, Jonathan - In: Mathematical methods of operations research 74 (2011) 3, pp. 361-379
Persistent link: https://www.econbiz.de/10009405069
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MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole; Rieder, Ulrich - In: Finance and stochastics 13 (2009) 4, pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
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More risk-sensitive Markov decision processes
Bäuerle, Nicole; Rieder, Ulrich - In: Mathematics of operations research 39 (2014) 1, pp. 105-120
Persistent link: https://www.econbiz.de/10010345222
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Risk-sensitive dividend problems
Bäuerle, Nicole; Jaśkiewicz, Anna - In: European journal of operational research : EJOR 242 (2015) 1, pp. 161-171
Persistent link: https://www.econbiz.de/10010488024
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Portofolio optimization with jumps and unobservable intensity process
Bäuerle, Nicole; Rieder, Ulrich - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10003543121
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Markov decision processes with risk-sensitive criteria : an overview
Bäuerle, Nicole; Jaśkiewicz, Anna - In: Mathematical methods of operations research : ZOR 99 (2024) 1/2, pp. 141-178
Persistent link: https://www.econbiz.de/10015125537
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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