We investigate the problem of minimizing the Average-Value-at-Risk (AVaR <Subscript> τ </Subscript>) of the discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). We show that this problem can be reduced to an ordinary MDP with extended state space and give...</subscript>

We consider a discrete time version of the popular optimal dividend payout problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends until ruin we maximise the expected utility of discounted...

We investigate the problem of minimizing the Average-Value-at-Risk (AVaR τ ) of the discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). We show that this problem can be reduced to an ordinary MDP with extended state space and give...