In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state
and action spaces and unbounded cost. We treat both finite and infinite planning horizons …

The aim of this work is to study risk measures generated by distortion functions in a dynamic
discrete time setup and to investigate the corresponding dynamic coherent acceptability …

Since risky positions in multivariate portfolios can be offset by various choices of capital
requirements that depend on the exchange rules and related transaction costs, it is natural …

In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-
period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to …

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk
measures for processes as introduced in Cheridito et al.(Electron. J. Probab. 11 (3): 57–106 …

This paper analyses risk management of fixed price, unspecified consumption contracts in
energy markets. We model the joint dynamics of the spot-price and the consumption of …

This paper presents a new formulation for the risk averse stochastic reservoir management
problem. Using recent advances in robust optimization and stochastic programming, we …

In this paper, we present a theoretical framework for studying coherent acceptability indices
(CAIs) in a dynamic setup. We study dynamic CAIs (DCAIs) and dynamic coherent risk …

Hedging techniques have been widely adopted in market-consistent or fair valuation
approach required by recent solvency regulations, to take into account the market prices of …

In this paper we present results on dynamic multivariate scalar risk measures, which arise in
markets with transaction costs and systemic risk. Dual representations of such risk measures …