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Stochastic combinatorial optimization with controllable risk aversion level

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In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

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The asymptotic value in finite stochastic games

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