48 citations · 357 across the 28 of their papers we have counts for
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q-fin.RM2023★ 29 cited
Markov Decision Processes with Risk-Sensitive Criteria: An Overview
Nicole Bäuerle, Anna Jaśkiewicz
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certain…
q-fin.RM2019★ 4 cited
Risk Management with Tail Quasi-Linear Means
Nicole Bäuerle, Tomer Shushi
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its genera…
q-fin.RM2017★ 11 cited
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…