Збережено в:
| Автори: | , |
|---|---|
| Формат: | Preprint |
| Опубліковано: |
2020
|
| Предмети: | |
| Онлайн доступ: | https://arxiv.org/abs/2012.04521 |
| Теги: |
Додати тег
Немає тегів, Будьте першим, хто поставить тег для цього запису!
|
| _version_ | 1866909847799201792 |
|---|---|
| author | Bäuerle, Nicole Glauner, Alexander |
| author_facet | Bäuerle, Nicole Glauner, Alexander |
| contents | 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 may be unbounded above. The optimization problem is split into two minimization problems using an infimum representation for spectral risk measures. We show that the inner minimization problem can be solved as an ordinary MDP on an extended state space and give sufficient conditions under which an optimal policy exists. Regarding the infinite dimensional outer minimization problem, we prove the existence of a solution and derive an algorithm for its numerical approximation. Our results include the findings in Bäuerle and Ott (2011) in the special case that the risk measure is Expected Shortfall. As an application, we present a dynamic extension of the classical static optimal reinsurance problem, where an insurance company minimizes its cost of capital. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2012_04521 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Minimizing Spectral Risk Measures Applied to Markov Decision Processes Bäuerle, Nicole Glauner, Alexander Optimization and Control Risk Management 90C40 (Primary) 91G70, 91G05 (Secondary) 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 may be unbounded above. The optimization problem is split into two minimization problems using an infimum representation for spectral risk measures. We show that the inner minimization problem can be solved as an ordinary MDP on an extended state space and give sufficient conditions under which an optimal policy exists. Regarding the infinite dimensional outer minimization problem, we prove the existence of a solution and derive an algorithm for its numerical approximation. Our results include the findings in Bäuerle and Ott (2011) in the special case that the risk measure is Expected Shortfall. As an application, we present a dynamic extension of the classical static optimal reinsurance problem, where an insurance company minimizes its cost of capital. |
| title | Minimizing Spectral Risk Measures Applied to Markov Decision Processes |
| topic | Optimization and Control Risk Management 90C40 (Primary) 91G70, 91G05 (Secondary) |
| url | https://arxiv.org/abs/2012.04521 |