27 citations · 63 across the 4 of their papers we have counts for
5 papers
Dynamic Reinsurance in Discrete Time Minimizing the Insurer's Cost of Capital
Alexander Glauner
In the classical static optimal reinsurance problem, the cost of capital for the insurer's risk exposure determined by a monetary risk measure is minimized over the class of reinsu…
Minimizing Spectral Risk Measures Applied to Markov Decision Processes
Nicole Bäuerle, Alexander Glauner
We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP i…
Markov Decision Processes with Recursive Risk Measures
Nicole Bäuerle, Alexander Glauner
In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces and unbounded cost under both finite and infinite planning horizons. O…
Distributionally Robust Markov Decision Processes and their Connection to Risk Measures
Nicole Bäuerle, Alexander Glauner
We consider robust Markov Decision Processes with Borel state and action spaces, unbounded cost and finite time horizon. Our formulation leads to a Stackelberg game against nature.…
Optimal Risk Allocation in Reinsurance Networks
Nicole Bäuerle, Alexander Glauner
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that th…