chi-squared divergence 1continuous-time insurance 1Cramér-Lundberg model 1mean-variance optimization 1model ambiguity 1risk sharing 1
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math.OC2026
Risk-averse mean field games: exploitability and non-asymptotic analysis
Ziteng Cheng, Sebastian Jaimungal
In this paper, we use mean field games (MFGs) to investigate approximations of -player games (pGs) with uniformly symmetrically continuous heterogeneous closed-loop actions.…
math.OC2024
Risk-Averse Markov Decision Processes through a Distributional Lens
Ziteng Cheng, Sebastian Jaimungal
By adopting a distributional viewpoint on law-invariant convex risk measures, we construct dynamics risk measures (DRMs) at the distributional level. We then apply these DRMs to in…