Risk-Sensitive Markov Decision Under Risk Constraints with Coherent Risk Measures

2019 ◽  
pp. 29-40
Author(s):  
Yuji Yoshida
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Decision Under Risk ◽  
Coherent Risk ◽  
Risk Sensitive ◽  
Markov Decision

scholarly journals Restricted Coherent Risk Measures and Actuarial Solvency

2012 ◽  
Vol 2012 ◽  
pp. 1-18
Author(s):  
Christos E. Kountzakis
Keyword(s):  
Minimization Problem ◽  
Risk Measures ◽  
Insurance Company ◽  
Coherent Risk Measures ◽  
Dual Representation ◽  
Coherent Risk ◽  
Representation Form ◽  
Solvency Capital

We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.

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