Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Glauner, Alexander"'
Autor:
Glauner, Alexander
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 reinsurance treaties represented by increasing Lipschitz retained loss funct
Externí odkaz:
http://arxiv.org/abs/2012.09648
Autor:
Bäuerle, Nicole, Glauner, Alexander
Publikováno v:
Mathenatical Methods of Operations Research 94, 35-69, (2021)
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 is assumed to have Borel state and action spaces and the cost function
Externí odkaz:
http://arxiv.org/abs/2012.04521
Autor:
Bäuerle, Nicole, Glauner, Alexander
Publikováno v:
European Journal of Operational Research 2021
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. Our optimality criterion is based on the recursive application of stati
Externí odkaz:
http://arxiv.org/abs/2010.07220
Autor:
Bäuerle, Nicole, Glauner, Alexander
Publikováno v:
Mathematics of Operations Research (47), 1757-1780, 2021
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. Under integrability, continuity and compactness assumptions we derive
Externí odkaz:
http://arxiv.org/abs/2007.13103
Autor:
Bäuerle, Nicole, Glauner, Alexander
Publikováno v:
Insurance: Mathematics and Economics 82, 37-47, 2018
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 there are $n$ insurance companies each bearing a certain risk and one re
Externí odkaz:
http://arxiv.org/abs/1711.10210
Autor:
Bäuerle, Nicole, Glauner, Alexander
Publikováno v:
In Insurance Mathematics and Economics September 2018 82:37-47
Autor:
Glauner, Alexander1 (AUTHOR) alexander.glauner@kit.edu
Publikováno v:
Scandinavian Actuarial Journal. May2022, Vol. 2022 Issue 4, p279-306. 28p.
Autor:
Bäuerle, Nicole1 (AUTHOR) nicole.baeuerle@kit.edu, Glauner, Alexander1 (AUTHOR)
Publikováno v:
Mathematical Methods of Operations Research. Aug2021, Vol. 94 Issue 1, p35-69. 35p.
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.